There are two different kinds of soaking to be aware of. The first, mentioned by elcap, is a soak in a mix of hydrogen peroxide and water in order to remove unseen "nasties" - mold, fungus, bacteria.... This kind of soaking doesn't need to be a long soak; 10 minutes is usually sufficient. Anyone who's started seeds just to check on them one day and find them covered in mold can tell you this is a good idea regardless of what you do next. There's no guarantee your seeds will get moldy if you don't do this, but why risk it?
The second type is a soak typically in plain water (or, for the uber-anxious, water and who knows what they add...) in order to soften the seed casing. THIS is the one you'll get the most variety of opinions on. I've found that most chile seeds don't really require a soaking - their seed casings soften up pretty quickly if they're just kept moist. However, I'm more prone to soaking more "stubborn" varieties, such as rocotos. Depending upon how many you choose to start, you might try an experiment and make up your own mind - soak some of your seeds, don't soak others, trying to do at least one each for each variety you'll be growing.