When glazing with jellies or jams, I usually melt them over low heat, and thin them with another liquid, usually a spirit, or with butter.
In the case of pepper jelly, my preferred cut is white rum, at a 50/50 ratio. Tequila, brandy and bourbon would also be good choices. The purpose of thinning is not only to modify the taste profile, but also to ... well ... thin the glaze. Glazing is much the same as lacquering. Several thin coats give more luster and depth then a few thick coats -- and are to be preferred.
I recommend simmering the glaze for at least a little while so that most of the volatile spirits are evaporated before using to eliminate any accidental flare ups. Warm glazes go on better than cool glazes, so you can "cook safe" for other, more manly reasons.
As to Larry's syrup recommendation, "de gustibus non diputandum." It's not that I disagree, as "sweet" is one of the few effective ways to cut heat. But I find simple syrup too sweet to use as a thinner with pepper jelly or any other jelly for that matter. Since your taste may differ, try it both ways. You were running low on white rum anyway and this will give you a chance to make some wife-pleasing mojitos. So pick up some fresh limes, mint and seltzer water while you're out.