I purchased extra large red peppers from our local supermarket. I don't know if they are hybrid or not. Would you take the chance and try to save the seeds for planting in the spring?
Saving Seeds From Red Peppers
Certified GKH Gardening Expert
You can try to plant the seeds from grocery store peppers but there is no guarantee that they will germinate. Sometimes grocery store peppers are hybrids, which means the seeds are sterile. Other times, the peppers are irradiated for health reasons and this kills the seeds. It is worth a shot, but do not depend on them germinating.