Hi what type of peony is it , if its a tree peony I have grown before , and it has two cycles of growth, root one year, then 2nd year it sprouts so all in all two years for them to grow , I can give you more advice if you want ?

Gg

I picked some peony seeds a few weeks ago from a friend's garden and looked up what to do with them (sorry it's a bit long):

INDOOR PROCEDURE:
About the beginning of October fill 4-6 inch pots with moist potting soil. Plant the seeds ~4 cm. apart and ~ 2-21/2 cm. deep. If you wish you may spray the soil with a fungicide (such as ‘No-damp’) or treat the seeds with a bit of ‘bulb’ dust. Rotting is not usually a problem.
Place the pots in plastic food-storage bags. Tie with a twist tie and place in a warm place (~ 20 deg.C ), leave for about 3 months. During this period the radicle and also a root system will develop. Soil can be carefully removed for periodic inspection without harming the little plants. Simply replace soil and place back in the bags.
When radicles and roots are sufficiently developed place the pots in a cold spot (just above freezing). That old fridge in the basement is marvelous for this purpose! Leave in the cold for 2/3/4/months...until SPRING!
Select a spot in the garden for a nursery bed. Carefully knock the soil and seedlings out of the pot (keep intact as much as possible) and plant at the same depth as in the pot. Insert a plant marker with the seedling information. Keep planting area moist (mulch). Throughout the summer you will see the first leaves appear. Some seedlings may not put forth leaves until next spring…be patient. Leave the little plants over winter (a further layer of mulch will help them overwinter without heaving) until Aug-Sept the following year. Transplant at this time to about 1 foot apart and at the same depth as the plant was growing. The little peony roots look a bit like carrots with coarse roots.
With a bit of luck (and good management) you can have a few blooms the following year (3rd year). You can expect to have plenty of blooms in year 4 and 5.
What a pleasure... what a thrill and what satisfaction to see the first peony flower from your own plants! Flowers no one in this whole wide world has seen before

Thankyou.Do you water the seedlings when they [hopefully]come through?

While they're sealed in the plastic bag they shouldn't need watering. Once they're out of the bag water carefully so that they don't get waterlogged - that way lies rot!