Based on what I've seen on them, some of my tree peony seeds will sprout in the fall, or in the middle of the winter with warm weather. I think all peonies are hardy enough to get through frosts and light freezes down into the mid 20s, but the best thing you can do is to mulch them over once the real cold weather hits. I would suggest leaving them alone, and let them get as much photosynthesis as possible, then try protecting everything through the winter.

Peonies tend to sprout out of season once in a while.