Exactly how are you roasting them to begin with? Many people do it with tongs over a gas burner for a few minutes. If you have a lot, heat broiler. Place peppers, skin side up, on a foil-lined baking sheet; broil 4 inches from heat until charred, 18 to 20 minutes. Transfer to a large bowl. Cover with plastic wrap; steam 2 to 3 minutes. Using a paper towel, rub off pepper skins, reserving any juices in bowl.
So your answer is - yes. Putting them in a sealed container and allowing them to steam for a few minutes makes peeling easier.