Use a sharp knife to slit the chillies lengthwise and remove the seeds (you may want to wear gloves).
Heat the oil, but not to smoking point. Drop in the chillies and let them steep in the oil for a few minutes. Take care not to overcook or the skins will come off and they will look wrinkly and unappetising.
Remove the chillies from the oil and drain on kitchen paper.
Chop the anchovies and mix with the capers. When the chillies are cool enough to handle, fill each with the anchovy mixture. Serve with any boiled meats or as part of an antipasto platter.