If you have peonies and you are anticipating a large frost after your peonies have begun to sprout you can place an overturned pot or light sheet over the plants just before the frost. This will protect the forming buds from any added stress that the frost can cause, which may hamper the bloom. Just don't forget to remove the covering as soon as possible. Note that this is the safer option.That being said, we have thousands of peonies and rarely cover any of our plants during frost and our peonies still bloom well and remain beautiful. This frost hardiness is especially true for tree peonies that emerge very early in the season. We have had plants with blossoms ready to open get frosted and they have opened beautifully not too long after. Just be careful not to touch your peonies when they are frozen as it will cause them to break.
If your peonies are in full flower (flowers completely open) and you are anticipating frost it is best tocover them to reduce the impact of the frost.