This is by far the most Troubling problem many people have with their Micro Toys. .

Option #1

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.

Option #2

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.

Option #3

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 convience store in the electical department.