IF you have a round pin guard, and you use more than one pin (you you have a movable pin, or pendulum) it is best to center your peep on the pin guard This means your farther shots will have that pin near the bottom of the peep.
The key, is to be consistant. IF you don't have a round pin guard, center the SAME pin in the peep each time, reguardless of which pin your aiming with, use the same pin you always use centered in your peep.
i.e. If your top pin is at 20 yards, and that's where you practice most, use that pin centered in your peep. Now, if you have a 40 yard shot, center the 20 yard pin in the peep, but put the 40 yard pin on the target.
It CAN be done the "other" way, your anchor doesn't change MUCH...but it does change. That is why I feel you should center the pin guard OR the same pin each time.