We fire-roast these peppers over the grill for about 20 minutes at high heat, rotating about 4 times while cooking. They can also be done in the oven at 450F for about 15 minutes, rotating them once midway. The skin should be puffy and charred black around the pepper (although the whole pepper does not need to be blackened – just partially is great). If the pepper does not have blackened parts, it will be hard to peel the skin off.
Once cooked, remove from the heat and let cool in a covered container for about 15 minutes or until cool to the touch. As you remove the skin, also de-stem and de-seed the peppers.
The pepper will fall apart as you peel and seed it, cut any large remaining pieces into even small pieces about 1″ wide. Roll each piece and top with one anchovy filet. Spear the fillet together with the roll of pepper with a short kebab stick. Season with a dose of really bright fresh olive oil and a dusting of fresh thyme leaves. These can be served plain or alongside with bread, and we usually make 2 per person.