Never use rose cones. Unless they have improved they will form condensation on the inside during late winter which can cause rot.

Find some wire and form a cage tall enough for the plant with a couple of extra inches on the top. Fill with leaves. The leaves will cause some condensation but not as much as the rose cones. If you have deer you may want to enclose the top to keep them from eating your tp.

I have used rose collars filled with sawdust, on my first year tree peonies or any transplants. I think it just protects the plant and keeps plant and dirt cold reliably, in our unpredictable winters. They don't warm up, then get frozen with warm days in mid winter.

I wait to put the collars on plants until when the ground freezes, to prevent mice or voles moving in. I have lots of sawdust for the horses bedding. It fills well, freezes HARD, so I have liked it pretty well. A tiny tree peony might be mostly covered in sawdust that first winter.

I would not recommend the rose cones on peonies either. They get really warm with sun on them, snowy or not, even with the tops cut off. I use the rose collars on my roses, along with sawdust on them too.

I don't use the collars after the first year unless I consider the plant to be iffy. Usually by the 2nd year a tree peony is looking good, should not need the cone. Peonies are a cold location plant, so should not have problems here in MI.

I remove the collar and all the sawdust I can pick up fairly early in spring. Want the plant to take advantge of any sunshine. No absolute time, but maybe when dirt starts getting muddy on top.

My leaves are oak, so I would probably shred them before filling cones with leaves. They stay stiff even when soaked. Other leaves like maples get mushy and smother when left whole as mulch. Shredded leaves would let me pack them down more solidly to fill the collars. Pine shavings for pet bedding will work to fill the collars too.

Thanks for the tips. I'll have to root around in the garage and see what I can come up with. I have some chicken wire, maybe I can make a cage out of that and stuff with leaves.