You can use the old superglue trick, as they are all on ball joints IIRC. Just be careful when manipulating them during the drying process as they are tiny and fragile. You know this already of course!
check to see if the sockets that the pegs go into are cracked/cracking. A couple of legs on my figure fell off in package. It was because they were cracked. THe plastic seems very thin on some of them. Be careful as the super glue on the ball joint might cause them to fracture.
Just to let you guys know, mine fractured from the superglue trick. Now he's stuck in microscope mode.