Heat fat over medium heat in a small skillet. Add peppers and cover for 5 minutes.
Turn heat to low and rotate peppers to their second side, being very careful of spattering oil. Cover again for 5 minutes.
Turn peppers to their third side and cook, covered, an additional 5 minutes. Remove from heat and place in small paper bag, so peppers can steam and cool.
Peel peppers and chop into approximately 1/2"-3/4" squares. (Remove and discard seeds, unless you want the salsa extra spicy.) Combine peppers and remaining ingredients in medium size bowl and stir to mix, being careful to keep some slices of feta larger for a pretty presentation.