I think that yes, Peter would be scared, but I almost think that because James and Sirius knew Remus so well, they would find it to be great adventure.
And Peter doesn't know Remus so well? I'm not so sure that Peter would be terrified with the discovery that Remus was a werewolf; he's been sharing a dormitory with him for over a year. Ron's reaction isn't one of terror; he's scared, yes, but also a little disgusted, and to him, Lupin's only a teacher. Remus was a friend to Peter, a good friend. Depending on what you want Peter's blood status to be, Peter could actully be the least scared/disgusted at the news. Sirius and James would undoubtedly know about werewolves and their reputations, but would Peter if he was a Muggle-born? Even if you have him as a half-blood, he could still be the least prejudiced as the tradition of werevolves-are-evil wouldn't have been handed down through the generations. If his mother was a Muggleborn, would she necessarily be prejudiced?

I think that it could well have been James who showed the most repulsion, or at least struggled the most to come to terms with what his friend was, even if he didn't voice it. He's got nice, loving parents, and I can see being threatened with being 'got by the werewolves' might be the sort of thing wizarding parents might use on children who won't brush their teeth, or go to bed, in the same way we use 'or the monsters/bogeyman etc. will get you' on our children. James might have the guilt of contradicting everything his parents have ever told him about werewolves, whereas Sirius might not have that. Sirius could perhaps see being friends with a werewolf as another way in which to rebel against his parents. He and James would both see it as an adventure in the end, but their inital internal reactions, especially James', might be a little different. Peter, I actually think, might be the most trusting in their younger years, especially if Remus and he had befriended each other before they became close with James and Sirius.

However, it depends on how you write it and how you see the characters. I think any way could be plausible, if backed up with knowledge about their personalities and past.

Sarah x