Cut the bell peppers in half and remove and discard the seeds and membranes. Place the bell pepper cups in a lightly greased 13" x 9" baking dish.
Whisk together the polenta and the next 5 ingredients in a large saucepan over medium heat and bring to a boil. Cook, whisking constantly, for 5-7 minutes or until the polenta thickens. Stir in the cream and the next 4 ingredients, blending well.
Spoon the mixture into pepper cups and bake at 400F for 25-30 minutes or until the peppers are tender. Garnish with fresh cilantro sprigs, if desired.