Instead of using specialized pegs made to hold weights in place, I use toothpicks most of the time. I find them to work just fine and they happen to be much cheaper than other alternatives. I use them like you would any other peg. Once I have the weight pegged with a toothpick, I just cut off the rest. When the lure gets wet, the wood will expand for a good hold.
(Blake Russell photo)
Toothpicks are a great alternative to specialized pegs because of their price and availability. There may come a time where you're at a lake and there isn't a tackle store nearby (hard to believe right?). In the event you run out of your other weight pegs, toothpicks are easy to find. Thankfully, most general stores carry toothpicks and you can pick up a box if you're in a bind.