A tomato cage should work -- better than it does for tomatoes, since pepper plants are smaller and more upright. Rather than buy a tomato cage, you could make one by forming a cylinder from chicken wire or lightweight fencing material.
You could also insert a bamboo stake on either side of the plant at planting time, several inches away from the pepper plant -- take care not to poke them into the root ball -- and then use a soft material such as strips of old pantyhose to gently and loosely tie the stem to the stake as the plant grows.