I don't know enough about the way that the TF stuff is handled behind the scenes, but could you not add all the pegs and then select groups of them afterwards and specify their size. It strikes me that a dialog which pops up every time you use the peg tool would drive you rapidly insane if you never wanted to change peg size.
Well, that's exactly my concern. I don't want to add a step for every peg hole. Especially since (apparently like me), most folks are using the same peg size throughout.
