Plop each pepper onto a baking sheet lined parchment paper, careful to include a healthy amount of sauce with each but keep them separated. Then throw that puppy into the freezer for an hour or two, won't take long to freeze:
Once frozen, they pull off the paper nice and easy, sauce and all:
You can then toss them into a freezer bag, and they'll be easy to pull out one at a time whenever you need them.
Now that you know the trick, you can apply it to so many more foods than just peppers. This is also how I freeze berries and chopped veggies - freeze them separate and flat, then when they go into the bag they don't freeze into a ginormous clump that's impossible to break up without a hammer or defrosting.