Violin makers use sophisticated reamers and peg shapers to fit the pegs with precision:
Once fitted, the pegs work surprisingly well. If they need to be refitted because of wear, it's not uncommon to replace the pegs to achieve a good fit.
If your pegs slip or bind, you might consider cleaning them up a bit rather than having new ones fitted. First, take the pegs out of the instrument and rub the shaft bearing surfaces gently with a little #0000 steel wool to clean off the "glaze" on the surface.
A peg that seems to stick tightly and won't turn easily enough to tune accurately can be smoothed out with a little "peg dope." Sometimes called peg compound, this stuff is sold in violin shops:
It looks like a wax crayon. To apply the dope, just make a couple of lengthwise marks on the shaft of the peg:
Then insert the peg and begin to tune as usual. It should work smoothly, provided that the mating surfaces on the peg and peghead are in reasonably good shape.
If your peg slips terribly and just won't stay in place even if you jam it in really hard, you can try the old timer's trick. Make a couple of marks with ordinary blackboard chalk:
Chances are, that will make the peg stick in place!
Bear in mind that you have to press inward as you tune, and that friction pegs are not supposed to jam super tightly. They should be just tight enough to hold the string tension. If you need a bit of extra leverage, you can use a standard plastic "string crank" as a wrench. I find that sometimes helps on lutes and guitars.