Wait until the seed pods ripen. Yours maybe a variety that contains both red and black seeds. Only the black are fertile. Peony seeds have a double dormancy. (which means they need two periods of cold to break the dormancy). Remove the seeds from the outer pod and you can do one of two things. Either place each seed in a 3"pot of compost about 1" deep. You can then leave it in a coldframe, unheated greenhouse, or outside somewhere sheltered. It may take up to two years to germinate.
Or you can put a little damp compost in a plastic bag with the seeds. Place into the salad compartment of your fridge for 5 -6 wks, remove and leave in a warm situation, but out of direct sun. small roots may appear. But the bag will have to go back into the fridge for another period of 5-6wks to encourage the shoot to appear. once the shots are visible, pot individually into 3 - 5" pots.
Nb it may take 5 -7 yrs for the true flowers to appear, Flowers may appear before this time, but they may well differ from the mature plant. Also Peonies do not always come true from seed. So if you have different varieties, you may well get some interesting new plants.
Peonies are an easy plant to propagate from seed, but Patience is the key................