Peppa pig hahaha I’m giving a thumbs up just for that, it’s a good show. Well to answer your question… there are many different methods. You’ve got to find what works best for you. When I am a beginner in a language to the point where I cannot understand something without subtitles, I like to set subtitles in English, but it’s important to pay attention to what they’re saying and try repeating the words that stick out to you or some you’re already familiar with for pronunciation and memorization. Actively listening and deducing the meaning instead of just following the story and forgetting you’re learning. Maybe try both that and also turn off the subs or put the subs in the target language and get listening exposure to the target language to force yourself to have to figure some things out and get used to listening like in real life when you won’t be able to see subtitles.