Welcome to BYC, Pilar, and congratulations! I'm sure you will love your peafowl.
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Good luck with your peafowl! 
You can put them in their coop and leave them in it for a few days with plenty of food and water to let them become accustomed to their new surroundings. and eventually have a nice run for them to go out into. Treats are the way to a chickens heart. Chickens are creatures of habit and once they develop a routine they are happy. You will find a lot of good information here