Peat pellets are a perfectly acceptable start for your babies. However, I find that plants will grow bigger and stronger...faster if sprouted in the soil that will be provided throughout its life.
For example, when I used peat pellets, my plants took FOREVER to grow big enough for flowering. Whereas when I planted some of the same seeds under the same conditions directly in my potting mix, my plants grew up faster and produced denser buds. I am still in the process of experimenting but I figure that potting soil provides more nutrients for young, impressionable roots.
I used Miracle Gro's Organic Choice Potting Mix and found that it worked much better than peat pellets.