If you can start with a cylindrical dowel and have a way to clamp it so the end is up then it is not hard to taper the end. Once tapered remove and cut off the peg, then stick the dowel back in and taper the new end. Repeat until you have all the tapered pegs you want. If you precut the dowel into peg lengths then just stick them into a tight hole with the end you want to taper sticking out. Taper, then remove and stick in the next peg blank. You might need a way to loosen then tighten the hole's grip on the pegs.
Tapering can be done with the fluting toolpath and a circular array of short vectors, or the moulding toolpath with a profile view of the taper and a circle to use as the drive rail, or using a tapered end mill and a profile toolpath. You can find tapered end mills in a variety of taper angles.
Buying them is the most prudent way to go, but if you're looking to make them out of a special material you could try using the double sided job type and molding toolpaths. The banding on the top part would have to be done by hand with a drill or something.
Not something I have tried but if you were doing something like a row of them as 4DThinker has suggested then a straightforward profile cut outside a circle might work, just use a dovetail bit instead of a straight endmill
Personally I think I would probably just buy them, seem to be quite a large range available & they are not expensive compared to the time it would take to make them
I have a wood lathe & would still probably just buy them
Thanks everyone for your suggestions. I think I will try both the double sided job type and molding toolpaths and the dovetail. I know it would be easier to purchase them but I want to go w/the what I produced out of cherry. it has an old fashioned look and I want to keep the peg idea in the same manner. I want to at least "try" new things so I can get some experience under my belt
side note............my parents probably would have suggested to purchase them also....... but you know me........I have a reputation to keep up