We've bought and made in the past.
We went back to making them because the turned pegs don't deal with a drawbore very well compared to a riven peg.
We shave them into slightly tapered octagons with a pointed end on the shaving horse after splitting out the blanks with froe, mallet, axe, etc.
You don't need a froe, by the way. You can split out the blanks with an axe and a wooden or rawhide mallet. But a shaving horse is a must have if you're doing more than one frame's worth.
Making pegs is a welcome break from the other work. I really enjoy it.
