Another vote for making your own pegs.

I'm reluctant to mention it, but Will Beemer put a video on youtube of me demonstrating pegmaking to some clients. It was unscripted and there's blackflies flying up my nose the entire time.

Two comments I'd add are:
-that it's much easier to make pegs out of very straight stock. We're talking veneer logs here. I like to check the grain by wacking the potential peg stock with a maul first. It also breaks up the large round into more manageable chunks for the froe.
-the newer froes that you can buy (like I'm using in the video) are pretty much useless. Look for an antique or a blacksmith made froe that has lots of thickness (maybe 1/2"?) and taper to it.