Roasting
I use direct heat, medium-high to high, specifically I use my grill but I've seen people set them directly on a gas stove burner (this seems like a fire hazard, so don't walk away). You could also broil them very close to the broiler, or roast them, but roasting will take longer than direct heat methods.
To easily peel them, you want to go until they're as black as possible. The blacker, the easier they are to peel. On my propane grill on medium-high flame, this takes about 4 minutes per side, my grill burns a little hot so you might need 5-6 minutes per side depending on how your grill works. edit: I also keep the lid closed so the flame climbs a bit more, especially important on a windy day.
You can find a picture on the top of this page, I actually let mine get significantly darker than that, but it's not required.
There are some great general roasting tips in this thread as well as peeling tips in this one.
Grilling
For grilling peppers, instead of keeping them whole, seed them and then cut them into quarters and lightly coat them with a little oil. I still use a higher, direct heat, but I flip the peppers more often so they will char a little without completely blackening. Since you're just going for a light char, this will take a little less time than roasted peppers would, about 8 minutes compared to 12.
There is a good step by step guide with pictures here.
Not sure if there is a correct way. It's basically skewered hunks of meat on a wood fired BBQ
You can do your own Churrasqueira by using a Weber "kettle" style BBQ or a B.D.S. (Big Drum Smoker). Use long steel skewers (or swords!) for your meat and BBQ away
Thick steaks of beef and lamb work well. Also try chicken drumsticks and some small Chorizo (spicy sausage)
Don't marinate the meat, but toss some coarse salt onto the meat surface before and during cooking. Don't go crazy with it, but it seems to absorb the roasting flavours and really boost the taste
Use a smoky fire, if your wood won't smoke add some fresh wood or herbs that do. Try lavender bush (wood and flower), grape vine or kiwifruit vine cuttings, or any other fresh cut aromatic wood
Watch the amount of fat dripping onto the hot coals; too much will make the meat taste bad. Shield the coals as required or trim off large chunks of fat
There is no need for motorised skewers that takes the fun out of it. Occasionally turn the meat by hand while enjoying your favourite beverage, and "chewing the fat" with a friend
Serve by taking a skewer to the diners plate, and hold skewer nearly vertically above plate. Use an extra sharp carving knife and slice onto the plate with a downwards cut so juices and other slicing splatter goes onto the plate and not onto the diners
If you are having a Churrasco party, give each diner a flippable symbol (e.g. red/green) to indicate to the server (probably you) "GIVE ME MORE!", or "I am stuffed". Serve a round of each meat as their outer layer becomes done
Coolest Churrasco cooker I could find
The rails on the top are what the skewers rest on
Following the car theme, some more cool Churrasco cookers here http://autozine.com.br/inusitados/churrasqueiras-automotivas
Best Answer
When you're grilling food at high temperatures on a barbeque most of the smoke comes from fat that strikes the hot surface of the coals/vapourizer. It's only when you're slowly barbequing food, cooking it at cool temperatures, that the difference becomes important. With a gas or electric barbeque you'll need to add a source of smoke (eg. wood in a smoker box) if you want to add any smokey flavour. Even with charcoal it's normal to add wood to the coals in order to increase the amount of smoke.
When cooking on an indoor griddle or frying pan, unless something goes seriously wrong, there's usually no smoke so the flavour will different than when grilling on any sort of barbeque.