I do mulch new planted peonies but with tree leaves for the first winter. Have many animals that will dig them up and then drop, never to be found again. When you start seeing buds peaking out of the ground depending on weather push the mulch back from the buds about 4 -6 inches. If you have a lot of moisture in your area leaving the mulch next to the buds can cause rot and fungus to develop. Wheat straw is fine to use but because of the various weather related issues it may be hard to find and expensive.
Most of my leaves are oak mixed with the neighbors soft maple.
