Try putting a bunch of straw around it, then tarping it over with an overwintering blanket. There are also plastic tarps that come in all sizes on eBay. Tree peonies should be hardy until zone 6, but sometimes it helps to protect them for the first couple years.

Never had any issues despite -15 to -20(F) every winter. Mine are unprotected. The largest is now 4'x5'. I always get a bit worried b/c they break bud very early in spring but the emerging foliage has been ok to 20F. Tree peonies with P. lutea (yellow shades) are a comfortable zone 5b. Most of the others with P. suffruticosa are comfortable to 5a or 4b.

Thanks for all the help, I will mulch around them, I did find out the peony grower is in the same zone as I'm in, so it should do well over the winter.

Bear