Heat the grill with high heat to 400-450 or so. Lightly spray or brush the peppers with olive oil. Grill the peppers, turning every couple minutes, until charred and softened. Remove the peppers from the grill and put in a large ziploc bag to steam (this helps get the skins off). After they cool enough to handle, take them from the bag and peel off the charred skins. Chop the peppers (discarding the seeds) and set aside.

In a medium saucepan, melt the butter over med-high heat. Add the flour and cook, stirring, 1 minute. Add the onion and cook another minute. Slowly whisk in the milk and cook until slightly thickened, stirring constantly. Put burner heat to low and add the remaining ingredients, whisking until the cheeses melt and blend in. Add the chopped peppers. Serve with chips! Serves 4-6.