If you can get the peg back, I would drill a tiny hole in the peg and in the broke end of the toy and I would insert a piece of a paper clip in-between the two pieces to act as a brace. I would super glue all of this together then. Of course, this is no guarantee that it won't break again.
If you can't find or use the peg, I would purchase a wooden dowel (size #316-6 "3/16x36" Color tip "black" ) Take a #7 wire gauge drill bit and drill a hole into the toy where the peg broke off. Now take your dowel and cut it to about 1 inch in length. Insert it into the hole to make sure it will fit. (If you need to make adjustments to the hole, or need a different sized dowel, do so now.) Now remove it and add a small drop of super glue in the hole. Put the wooden dowel piece back in and allow it to dry. After it is dry, cut the tip of the exposed peg to the length of a micro peg. You should be all done.
Your third option (and the one I would recommend) is to use Insulated Female Disconnects (22-18AWG .250 Tab) electrical connectors. You can find these in your local hardware store or convenience store in the electrical department. I'm holding one of these in my right hand in the picture to the right. I've removed the metal connector from it.
How to Make 5 mm Holes
What Size Drill Bit you Will Need - If you live in the U.S. Go to your local hardware store and ask for the Wire Gauge Drill Bits. The drill bit you need is the #8 size drill bit. This is the perfect size to make holes for your 5mm connections.
Why do you need this, you really don't need this unless you want to remove a broken peg from a hole (permantly) or if you want to customize some toys.
Micro Specialists: Bryan and Erik With 5mm Loose Connections
"Here's a tip I found handy at times. If you have a Biotron with really loose arms, head, or lower torso, an easy solution is simply to put a single layer of masking tape around the rim of the part. This will thicken the part and add friction, and is nicely hidden from view. It turned my current biotron from a floppy abomination to a nicely posable toy again. I've used variations of this trick on other loose fits occasionally." - Bryan (Rescue Base Seattle)
"If you need a lesser/thinner clearance to be filled between the parts, Scotch tape will work as well. It also has a lesser coefficient of friction so that it's easier to turn the heads, arms, etc. when needed." Erik (The Micronauts Homepage)