If you burn firewood you have a good supply of peg stock. You can pick through for clear stock with little twisted grain. Red oak is probably the most common, black locust the best, but I have seen red maple and even spuce pegs in old frames. Any hard wood will do.
Mark the end of the piece, split with a froe into the rough sizes you need. Shaving with a draw knife and a horse is easiest and shaving horses are useful for other tasks, but if you do not want to make a horse, pegs can be simply shaped with a chisle or put them in a vice and use a draw knife, especially if you are only making a few.
Several old books tell to split the stock out so there is no cross grain rather than sawing the "stuff".
If you are using green wood, the pegs will dry out fairly quickly.
I bored holes in my shaving horse so while I am shaving I can quickly test the fit.
Using firewood and a horse I can make pegs at a cost of $.50 to $1.00 each.
I have 18" firewood so I put a point on both ends of each piece to get two pegs.
Driving them through a die sounds quick and easy, too.
Jim