When I got my first loon (knifty knitter, I noticed pegs loose - but I just pulled them out and put a super glue or epoxy in them, and put them back CAREFULLY to make sure the grooves were handy!
There are different stitches you can do, or flower loom pull outs, but I don't mind having them all there, snug.
If I need to mark pegs, I just use a sharpie. Works for me!