Why do you want to peg the weight close to the hook? If you're pitching into heavy cover or punching through grass mats there are plenty of viable options above. But if you're working open water you may want to leave the weight unpegged. The less weight near the hook the less chance the fish can shake his head and throw the hook. The more weight the more likely he'll throw it while jumping.

I like pegging my weight when fishing flukes. It has better action.

First off...WHY? I'm not really under standing why you ask. I use a bobber stop. If I want the weight to move freely I just move the stopper up 3 or 4 inches. If I want to use a different bait I just leave the stopper on. It doesn't get in the way.
And tooth picks may be fine for lead but tungsten weights have in insert so the hole is too small or you damage the insert.

+1 bobber stops

peggits'academy.com,sliding wts will wear ur line out

peggits'academy.com,sliding wts will wear ur line out

I dont want to peg mine I like the free weight. Works Fine

bobber stopper put on the line first

Been fishing sliding weights for years. Havnt had one wear my line yet.

I use the T-peg found some at Dick's. they are hard to find now.

In case you don't have any bobber stops you can use a flat toothpick or you can tie a four half hitches of mono above the weight and draw down snug, but not real tight. If you do the mono half hitches, it helps if you hook the hook over the cross brace on your reel frame so you can keep tension in your line while you tie.
When using tooth picks I made a reamer from an old spinnerbait by cutting the hook and then the spinnerbait wire about 1 inch in front of the head. I leave this in my weight box so it's handy.

That...

I thought the whole point was to have a sliding weight??

I really like the rubber nail pegging system. just make sure you buy the brand that has a very fine point on the rubber nails.

tooth pick

I use the stoppers made by Tru-Tungsten. Better get them while you can find them, they went out of business.