I just got my peloton yesterday and am in the exact same position - have Sidi SPD cycle shoes that I'm used to wearing at Equinox. Now there's shelter in place in CA so I've moved to Peloton since I have no idea when this epidemic will end. I got my pedals today and just installed them myself. (Initially kind of hard but got the hang of it!)

I initially thought about ordering from Amazon but thought it might take too long with the shipping delays.

I'm an REI member and had a dividend + a coupon so I instead bought from REI on Tuesday and got it today!

https://www.rei.com/product/826158/shimano-m530-spd-bike-pedals?cm_mmc=email_tran-_-order_conf-_-20200323-_-bt_prod1&ev36=&RMID=OrderConfirm_PROD&RRID=55087594&ev11=

Same as

https://www.amazon.com/dp/B0052XXW32/ref=nav_timeline_asin?_encoding=UTF8&th=1

Did my first ride today. It was great!