Chili's grown like a weed so if you have a window sill, roof or back yard grow a few plants, then preserve them and you will have enough to last you the Winter and beyond. Because they are so cheap I always end up buying too many hot pepper leaving them to mold and dry up in the fridge. This is a perfect anecdote to this problem.
Chili's are very light so the only problem I found with pickling them is that the chilies kept floating on top of the brining solution. My solution to this was to put a small ramekin on top of them to weigh them down. Works like a charm.
Stem 4 cups of hot Thai Chili Peppers and put aside in a bowl.
In a heavy bottomed sauce pan add 2 cups of hot water, 1 cup rice vinegar, 3/4 cups of sugar, 4 1/2 teaspoons of kosher salt. Heat over a medium flame until the sugar has dissolved and remove from heat.
In a sterilized jar (or jars I used a quart jar I had, but it doesn't matter) pack the hot peppers and pour over the brine. Cover and put in the fridge.