I use 1/2" PVC pipe/conduit for cage frames, since it is smooth & won't rip the cover. The legs are slipped over 2' pieces of 3/8" rebar, driven 12" into the ground, to support the cage in strong winds. The PVC corners & 4-way connectors might be hard to find, I had to order the 4-ways from an online greenhouse supply. I constructed 3'W X 3'L X 2'H permanently-glued cells, which can be used singly, or linked together for extended lengths. As in the photo below, I usually have a 3' extender between two cells to get a 9' X 3' cage, which has room or 6-8 plants.
The cover is the lightest grade of Agribon floating row cover. This allows the most light penetration, while still keeping pollinators out... but has the lowest heat retention. That works well for me, since we have hot summers; but in a cooler climate, a heavier grade might give better results. The cover is buried on all but the downwind side; the open side is held down my something both heavy & easily removable... a length of 1/2" rebar, a T-post, or a line of bricks. I prefer the 1/2" rebar (in a length just slightly longer than the cage) since I can use that to hold up the flap when the cage is open.
Much to my surprise, I don't have a good photo of the cages; but you can just see them on the right side here. The cover in the foreground was partially blown off during a thunderstorm, but the peppers had over-grown their 2' cage anyway"
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If you don't want to build permanent cages, you can make a low tunnel hoop house, with the wire ends driven into the ground, and a cover over that. Garden stores sell pre-formed coated wire hoops which make the task easier, won't rust (as easily) and don't cost much. In a cool climate, it would be additionally helpful to use black agricultural plastic inside the hoops to warm the soil, and plant the peppers through that.
I should note that in addition to holding in heat, the cages increase humidity around the plants. Peppers thrive on that; but that same increased humidity is harmful for tomatoes, since it will promote the rapid spread of foliar diseases. Ask me how I know...