The purpose of mulch for new plants is to keep the soil frozen, not to keep it warm. Several peony experts recommend mulching after the ground has frozen the first year to prevent frost heaving or raising the plant roots to the top of the soil. In all cases, it should be removed off the eyes after the permanent thaw as AH suggests. With our record dry summer I mulched a group of first year peonies due to their wilting every day even after watering. Mulching cured the problem. You can see the mulch was kept away from the crowns but was close enough to help hold moisture.
