I would say it depends - if the soil is not frozen ( similar to fall soil ) or wet and you do not expect any sudden fluctuation of temperature until spring - you may go for it. It still may not be best for peonies, but if you do not want to wait until fall to divide them - why not? I transplanted peonies in early spring and they were fine and blooming same year. If you divide them into small parts though, then do not expect them to perform for 1 or 2 years.