Slice the peppers into 4-5 parts and get rid of the seeds.
Rub all over with salt and olive oil.
Place under the grill, skin side down. Grill for about 5-10 minutes (really depends on the heat of your grill), until the skin blackens and perhaps start to blister. It's supposed to look burnt.
Turn over and grill for about half the time, as this side doesn't have a skin, you don't want it too brown.
Traditional method will have you place them in a bag and seal completely until cool to facilitate removal of the skin. But I've never needed to do this, the skin peels off quite easily.
As mentioned, when cool, peel the skin off and slice thinly or to the size you'd like.