I agree with Valerie: "Soil is your problem...". Many years ago, my mother who lived in Europe came to visit in January. She wanted me to buy her a yellow TP. She didn't want to reason and accept that the soil was deeply frozen. My mother was mad at me. She convinced my brother to call around and find her a yellow peony. So my brother somehow convinced a guy in Quebec to dig two frozen roots of High Noon and one more pink TP. As I recall, the nursery owner did it with a pickaxe.
The roots arrived safely, we planted them in the pots. My mother took one High Noon and the pink peony. Later, she brought them back to Europe and planted them there. They are still alive and well.
I got the second High Noon root. It was in a pot until the spring arrived. I planted it as soon as the soil got soft. Now, my High Noon is more than 5' tall
Thus, the most difficult part will be to dig up the roots.
Chelseann - I would say the soil is your problem not how the peony will take a move (unless you are going to somewhere hot like Florida 
) If you are moving to a climate a zone or two warmer you will be able to plant it. However how you saw through frozen dirt will be your biggest challenge 
My mother was mad at me at that time because I did not want to call peony nurseries and ask them to dig up the frozen ground 
