pnpm uses npm’s configuration formats. Hence, you should set configuration the same way you would for npm:
pnpm config set auto-install-peers true
Note: The above command uses the default config location which stores the setting for the local user account (at ~/.npmrc for linux, or at %USERPROFILE%\.npmrc for Windows). To store the setting inside your project in a .npmrc file that can be checked in to version control, you can use the method pointed out by @ZoltanKochan, or equivalently append --location project to the command:
pnpm config set auto-install-peers true --location project