If you're cooking them with just heat...peel after you cook

If you're cooking with heat & other ingredients...peel before you cook 

 I know the pho recipe I use has specific instructions to leave the skins on the onions that are used in the broth. Also, roasting whole bulbs of garlic unpeeled is a pretty normal thing to see. 

In general I peel, but there's specific cases for not peeling.  

 I always peel em (I haven’t roasted either so I’m gonna have to try that)…
But I save all the peels for broth…