Peppers need a long growing season and you probably won't get peppers in Z5 if you winter sow. I have even stopped winter sowing tomatoes because they don't have the time to produce fruit much before the first frost.

Peppers and tomatoes are the only things I normally sow indoors because of this. (Peppers mid/Feb. and tomatoes in March or April) Also, I need bottom heat for peppers to germinate and for the first weeks of growing. My indoor growing is in front of south-facing windows - I don't use any other lighting.