As in physically how? The keep the item secure and absorb shock that otherwise may be transferred to the item (and then breking the item) if they were not present.

Well, you see, they are quite soft and squishy. Therefore, as the theory goes, you put them in a box around something that wouldn't take kindly to banging, bashing, bouncing, or any of the other injustices heaped upon mail, and the peanuts will provide a soft barrier of protection.