Trim the peppers, cut off the stems, and scoop the white ribs, membrane, and seeds. This is important : If you don't scrape the inside of the peppers clean, they'll be unbearably hot and inedible. Combine the vinegar and the wine in a pot.
If the liquid won't cover the peppers, add more of each in equal amounts. Bring to a boil, and boil the pepper for 3 minutes. Remove the peppers with a skimmer and set them on a clean dish towel to cool.
When the peppers are cool enough to handle , wrap 1 anchovy fillet around 1 caper and insert it into one of the peppers. Repeat with the remaining anchovies, capers, and peppers.
Arrange the stuffed peppers. in clean, dry jars(I always run mine through the dishwasher to be sure they are perfectly clean), and add extra-virgin olive oil to cover completely. Leave the jars open for 10 minutes and if the level of the oil has sunk, add more to cover.