You can pull the seeds right out of the fresh pod and plant them without even drying. Although I tend to set my seeds on a paper towel for a day or two since I'm not planting right away, I've been told that they do not need to be dried before germinating.
Just beware that oftentimes varieties you buy in the store may be hybrids and won't breed true to the parent. Doesn't mean you won't get a good plant, but it might not produce peppers that look or taste the exact same as the parent. But it might.