Hi.

The short answer is yes, you should deadhead peonies after blooming.  This cleans up the shrub's appeaance, helps avoid disease, and prevents the setting of seeds, thus allowing the plant to direct its energy to its root system and the formation of next year’s flower crop.

Also, if you have herbaecous (non-woody) peonies, keep in mind that you should cut them back to the ground in the fall after the first hard frost.  Remove all dead foliage and any leaf debris on the ground to prevent pests and disease. 

Here is further info from University of Maryland Extension on caring for perennials, including peonies, https://extension.umd.edu/resource/perennials/

Bob