It also sound like you may have planted them too deep. The top of the crown (where the stems attach to the roots) should be no more than 2 inches below the soil in your zone. Since you've just planted them , fix it tomorrow. Then do as Alex said and shade the plant, and don't cut anything off unless it turns brown. Don't overwater. It may go dormant very early, but if you do all this, it will most likely send up new stems properly next Spring.
@BigAppleRoseGuy, wait until Fall when your peonies go dormant to dig up and divide. That is the proper time.
