So you've done it, you've made it past the initial propagation phase and you're into what I like to call the initial shaping of the plant. If you've given them the TLC they need during their early stages, then they should have grown a bit. You should have a few shoots appearing and what you want to do is try to make them "fuse" together to form one chunky trunk. Now they should do this on their own if they're close enough, but to encourage it, I wrap a tiny bit of wire around them.
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Don't coil it up, make sure the plant can somewhat expand when it grows ... so don't suffocate it!
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Once its fused together enough, you can remove the wire. This is what it should start to look like.

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All the white bits are new root hairs (and a sign that the plant is healthy and growing!)
When your plant is big enough to move to another pot, ideally you would want to move it into a bigger pot so that it can grow much larger, with a thicker trunk ... and then you can bonsai it. In this example I will be transporting it straight into a bonsai pot. The downside to this is that it will take a lot longer to develop a thick stalk (because it has less room to grow). However, once its started to establish its shape with all of the fine tuning ... you can always transport it to a larger pot temporarily to accelerate its growth, and then return it to its small pot.
So, we're moving it into bonsai pot for now ... to start with, you need to prepare the pot.
First, you need to put mesh in at the bottom of the pot (to stop all the soil from falling through). You can hold it in place by twisting a small bit of wire and feeding it through the bottom.
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... once you've figured out where the wire needs to go (which holes in the mesh), give the wires a twist to make sure they dont move / slide around.
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fit it to the bottom of your pot ...

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and fold it over underneath to hold it in place!

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Once thats in place, you need to feed wires through that are going to secure the plant in place. Some pots (like the one I'm using) have holes specifically for this, if they don't, no worries, just feed it through the hole where the mesh is. Ideally you'll need at least two wires fed through.

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feed them through, flip it over, and hold them out of the way.

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once that's in, you'll need soil.
I use two layers of soil with my plants.
The bottom just has pure Akadama soil - a Japanese clay which has been made specifically for bonsai growing. It can be expensive, but its worth it (I buy mine from ashbonsai on ebay, here's a link to his ebay shop).  Akadama needs to be siftted before it can be used, to remove dust, it also breaks down after a couple of years so its important to replace it. If you cant find akadama, or are looking for a cheaper alternative ... cat litter can work well (just make sure you purchase the really cheap version which has no perfumes / chemicals in it ... otherwise you could end up killing your plant!)

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Once that's in, you can either put the plant directly in, or put something in for the plant to grow over. I quite like using rocks for the "root over rock" effect, here's an amazing example.
I will be trying to find more interesting things for the plant to grow over with later plants, but for now ... in goes the rock.

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Now its time to get the plant on it. First, remove it from the small pot, it will probably look something like this
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Using your hands, slowly, and carefully work away the soil ... leaving only the roots. By the time you're done, it should look something like this.

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Now to place it on top of the rock, and secure it in place using the wires that were fed through.
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Now for the second layer of soil. I like to use a "premium soil mix" that Ashbonsai makes, again, here's a link to his shop.

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The mix contains:
1/3 John Innes as recommended and used by leading bonsai experts.
1/3 Akadama ( Japanese soil ) for free drainage,high air content,and water retention.
1/3 kyodama for superior water retention, great root development and can also help keep slugs snails and root aphids away.
... so you could make your own.
 So this mix is poured into the pot with the plant, and I gently tap the whole pot onto the table so that it all sits in within the roots of the plant.  A poke with a stick (I use the back of a thin paint brush) always helps to tease it into place.

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 Once that's in place, I cover the whole surface with sphagnum moss to help keep the surface moist (I buy my sphagnum moss dry, then rehydrate it before putting it on the plant).

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and voila, the chilli bonsai is ready to be cared for!

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Here's the previous post - Starting your chilli bonsai plant