Hi! I swapped my pedals out for pedals with Shimano SPD clips which is probably what you have. The Peloton shoes come with Delta look pedals and cleats which are fine but it's really a matter of personal preference. Swapping the pedals isn't too hard but you need a pedal wrench and you just want to be careful screwing them back in. Some people try to turn them the wrong way or force them in which can ruin the cranks and pedals. Here's a video which may help.
Did you order the Bike or Bike+? I would suggest making sure they show you that it's working and you can see cadence, resistance, etc. before they leave as there have been some issues.