Robin, the local nurseries sell peonies that are typically grown inside in spring and don't warn people that they can suffer if planted out in full sun. If your soil is still cool planting it in it's permanent spot with temporary shade for several weeks as Alex suggests is good, if the soil is warm already it could be better to leave them potted in a cool, shady spot and plant as bare root in the fall, just for future reference—not suggesting that your dig yours up. The nice thing is that peonies are pretty resilient and will rebound next spring. Not so nice is they don't put out new foliage or buds after the initial flush so the pretty potted plant you started out with will make you doubt yourself as a gardener when it doesn't stay nice and pretty!
