Peonies typically need to be mulched before winter and then carefully remove the mulch in spring.
There is an excellent article on peonies from the Iowa State University - "Growing Garden Peonies - ISU Extension Store - Iowa State University." It is in a pdf format. Type the above title into Google and you should be able to access the article.
Thanks , I never have and most have done OK but was reading a blog of a local gardenener and she mulch’s so guess I will check out the article