I have tried freezing them (chopped then added to a teensy bit of water in ice-cube trays) and drying them (strung together on cotton, hung in the airing cupboard). My preferred way is freezing as I literally just bung however many I want in to the dish I'm preparing. I guess if you wanted the chilli without the liquid, ie for salsa or something, you could let them defrost and drain them. I find the dried ones a little annoying to chop as the bits fly off in all directions!
As far as the other questions go...
I'm pretty sure frost will kill them, and given your location I think it's doubtful you'd get chillis beyond late October/early November. I'll happily stand corrected. I'm in the south and my plants were killed by frost (don't recall when) and weren't producing at Christmas.
I think for red chillis you're supposed to simply leave the green ones to mature on the plant.
Not had any chillis off my plants yet!