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You tagged with first-time-brewer... if this is true, I would caution against making an infused beer right out the gate. Fancy beers can be a tricky proposition.

That said, my best guess is that you could do an infusion similar to using vanilla, since it seems like a similar plant. See this question & answers about vanilla. There's some discussion about making chili beers in the ever-popular HomeBrewTalk forum as well.

Finally, I don't mean to discourage you with that first bit. I've had some chili beers that were amazing, and it's a pretty neat style. Best of luck!