Prepositions aren't so hard... just keep reading and you'll get used to how they work.
For ability or skill, use AT. "I'm bad AT prepositions." You'll often hear "bad in.../good in...", but this is a common and silly mistake.
"Tease" needs an object, not a preposition. "They are always teasing ME..." (The sentence can even end here.)
"Peter" is extra information, so that does need a preposition. "They are always teasing me ABOUT Peter."