If all the lubricant is removed and the peg is still slipping, you may use a small amount of sidewalk chalk between the peg and the hole. NOTE: Most blackboard chalk contains oil and therefore will not prevent the slippage. Use sidewalk chalk, which contains no oils. In an emergency, use a tiny amount of your rosin in powdered form. The rosin will stop the peg from slipping until you can get professional help.
Conversely, if you find that your pegs are sticking, you may lubricate them with peg dope, but use it sparingly as it can build up and cause the pegs to slip. If the pegs are too tight due to swelling from increased humidity, don't try to tune them up. The peg might suddenly move and you will break the string. If you use more force than usual, apply it in the downward portion and pull the peg out as you turn it. When the peg is completely loose, readjust it to the normal tightness and tune it back up. Don't be too daring if the peg is stuck. A trip to a local violin dealer to loosen a stuck peg is cheaper and faster than the repair of a broken peg or even a peg box.