Cut red pepper in half to form a top and bottom. Remove and discard the seeds and trim the stem to allow the top half pepper cup to stand up.
Rub the inside of the pepper cups with olive oil and season them lightly with salt and pepper.
Place them in a pie plate, cut side up, and bake them for 5 minutes in a 350 ºF, preheated oven. During this roasting step you will be just slightly softening the pepper. The final cooking will take place after the pepper cups are stuffed.
Allow the cups to cool upside down to allow the excess juice to drain out prior to filling with the goat cheese mixture.