Perennial plants can generally be pruned at the end of the warm growing season, getting them ready to enter dormancy and preserving the health and integrity of the plant so that it will live to see another spring.
However, peony bushes are unique in that they need a short window of time in the fall to be exposed to cold weather before any trimming takes place.
Ideally, clip away the dead blooms at the end of the growing season, wait until a cold snap or frost turns the remaining foliage to a soggy consistency, and then remove the remaining portions.
When springtime comes to town again, your peonies should continue their healthy growth cycles and bloom beautifully.