Regarding the methods above:
If the Chiles are on the hotter side, you are going to liberate a good deal of capsicum into the air indoors, and that sort of "Hey, I just pepper sprayed myself and the guests I was trying to impress." realization may begin to hover. A better, less painful, and (perhaps) more memorable approach: blowtorch.
A $10 propane torch kit will afford precision and complete outdoor chile skin roasting. You will need some tongs. Scare the neighbors and impress the guests with your confident torching.
Back at the sink, the skin will come completely off, leaving absent those little mylar-like bits that are otherwise tenacious. Onward with chiles rellenos!