Mike Bielsky got it right. Once the skin is on the pegs can't fall out. If the peg is a fairly close fit you don't really need any adhesive.

Wet the peg with water and it will swell enough to hold things in place until you get the skin on.

Varnishing the frame? You'll get enough varnish seeping in to seal in the peg.

Beyond that the glue adds no strength to these joints so it really doesn't matter what you use.

But if it worries you then you can always slit the end of the peg and drive in a slim wedge.

Or cut your pins in half with long diagonal cuts -- like a scarf joint or a wedge. Drop half in the hole. It will be loose. Drop the other half in and tap it with a hammer. As you drive it in the two halves wedge against each other to form a tight bond. A drop or two of glue keeps te parts from ever vibrating loose.

Belt and suspender approach? Peg it with epoxy, then lash it.

My advise? Don't overthink this. Almost anything will work.

PGJ