After charring the skin on the grill or in the oven, it is important to sweat the peppers. You can do this by putting them in a bowl and covering it with plastic wrap or putting the peppers right in a plastic or paper bag and closing the bag. Let the still-hot peppers steam and sweat for about 10 minutes. At that point, the charred skin should be easy to slip off with your fingers.
The Roasted Red Pepper Soup from Cooking Light pictured here is a great way to use roasted red peppers and includes instructions for the sweating method.