I am not sure that advice to put roast or grilled peppers into a bowl and cover them with clingfilm is much help. In my experience, the loose skin is loose already; the skin that remains closely attached to the flesh of the pepper will not lift away as a result of a little steam.
I roast peppers more often than I grill them, unless I want the rawer flavour of grilled peppers in a salad. I put them into the oven at the highest setting for 20 to 25 minutes, until parts of the skin are charred. If you cook them for too long, the flesh starts to shrivel.
They are plenty of ways to eat them. On their own, with their juices, olive oil, salt and pepper. With goat's cheese or feta. Stirred into couscous, bulgur or rice. Stirred into tomato sauce. I like to roast the peppers I use in a ratatouille.