Help! Cayenne peppers

I think I am growing these, they were given to me by my next doors little boy out of a childrens seed pack-so I thought I'd give them a go!

Anyway 4 months (ish) later I have more plants than I know what to do with, full of green fruit.  However I went into the greenhouse today and 2 fruit had started to go red at the tip and fallen off.  

Do I have to pick them and let them ripen?  Do I leave them on?  The 2 fruit that fell off where nowhere near as big as most of the fruit on the plants so I am confussed.