I don't know about 'should' - but I planted mine three weeks ago and now have 1" seedlings on my window ledge. As soon as they get a bit stronger I'll pot them on and gradually introduce them to the outside.

I plant mine in January and put seed in a heated propagator, seedlings have now been potted on and are growing strongly in the front porch. Chillies need a long growing season so I the earlier you can get them going the better.