Making one skewer at a time, slide an olive to about 1 inch from tip of skewer. Slide on 1 end of an anchovy fillet, then a pepper followed by another olive. Slide other end of anchovy over olive. Slide a second pepper over the anchovy to finish the skewer.
*Since it's difficult to find plain Manzanilla olives without pimento stuffing, you can use the pimento-stuffed type and push out the filling with a toothpick if you like. Find spicy-sweet guindilla peppers at latienda.com and amazon.com. If you use peperoncino, rinse them first if you find them too sour.