FYI, some peonies form a seed pod but do not form seeds. Watch next year to see if another forms. In the mean time look at your local stores that sell dried flower stems. You will see sprayed and gilded open peony seed pods. Even without seeds you may still find a use for the seed pods. Mine only seem to last a year or two before they need to be thrown out, but pretty during that time.

I wanted to know what a peony seed pod looked like so looked it up and found this site with info on how to get peony seed to germinate.

Here is a link that might be useful: Peony seed info and picture of seed pod