Thanks for your tips guys!
Chingal0: I haven't tried a batter because we like to bake them in the oven like the frozen ones you buy at the grocery. But I'm willing to give frying a try, it seems like a batter might stick better.
Maleficent: Your method is what I've tried to do but that's my whole problem, the egg I dunk them in won't stay on the peppers. I pull them out of the egg and it all runs off and they're basically dry again, so there's nothing on them for the breading to adhere to.
I'm starting to think my grocery carries some kind of mutant strain of peppers
My homegrown are almost mature so I can't wait to see how they behave vs. the stores!
Ali