A chile pepper burns because of an enzyme, capsaicin.
The pepper ( botanically speaking) has 3 elements: the seeds, the placenta (vein) and the flesh (fruit). The hottest part is the vein; the second hottest, the flesh.
Capsaicin is soluble in oil, but NOT in water, which is why a hot pepper burns more if you drink water or beer. However, if you preserve the pepper in brine, or in vinegar, it seems to dull the heat ( and no, I don´t know the scientific answer, I simply know through having done it 20,000 times). If the preserving mixture has oil in it ( as in Escabeche), the "heat" of the chile becomes more intense. I suppose that´s because the oil absorbs the capsaicin.
As Blissful said, there are amny ways of preserving chiles. Currently, I´ve got a large batch of Naga Jolokia in the freezer - whole - and a Naga Jolokia powder. My Rocoto peppers have been cleaned, de-seeded and frozen, until I decide what to do with them.