The problem with shaving these turned pegs with draw knife and shaving horse is that it sounds like they are dry. What would happen is that they would not shave smoothly and you'd take chunks out (with the diving grain contributing to this). You can soak these pegs in water. Make sure they are immersed. Assuming they are oak, only a thin outer layer will absorb water and soften, as oak does not like to absorb water after dry. But this outer layer may be all you need to shave off with the shaving horse and draw knife. Ordinarily, you'd like to start with green stock, that has been kept green by keeping the blanks in water until shaving. These are soaked throughout, and will shave much easier.
Another option would be to set up a little jig on a table saw and shave them that way into Octagons.
