Saving them in the peppers sounds like a great way to store them if the peppers get really crispy dry.
The cages come in when you want to avoid cross-pollination from other nearby pepper varieties. If you have a bell pepper growing next to a jalapeno, there's a decent chance they will be promiscuous and either plants' seeds will be a hybrid (small bell with some spice). My seed saving book says you need 500' of separation between varieties if you aren't caging them. My garden isn't that big
Instead of caging the whole plant, I try to just bag a few blossoms and then save seeds from those fruits.