Here is a quick recipe from "A Dash of Elegance" for a pepper sherry. There are quite a few other flavored sherry recipes in there as well, but this is the first I plan to make.

Wash and dry the peppers. Pierce them in several places with a fork and put them in a wide mouthed jar. Add the garlic and peppercorns. Add the sherry, cover, and store in a cool dark place for 2 weeks. Strain the sherry through several layers of cheesecloth into the original bottle. Discard the peppercorns but reserve the garlic and habaneros in a small jar with just enough sherry to cover and refrigerate and use with appropriate recipes.