Paper wise, I woulf try what you have or lots of people here use presentation paper that you can buy from the office supplies shop. It's a bit like like normal copier/printer paper but much thicker and the fibres are a lot tighter so instead of the ink sinking into the paper it sits nicely on top and because it is meant to be printed on it dries instantly too.
For your pegs. I would print your different patterns then cut them a bit larger than your pegs, turn them over and cover the back of the paper with a gluestick (pritt stick, tombow I don't know what you have where you live) stick on your pegs smoothing the paper all over the peg, especially the edges then set aside to dry. When they are prefectly dry take a sharp craft knife, turn the peg upside down so the paper is on your craft mat and carefully cut out. Take a sanding block or nail file and lightly sand the edges just to take the freshly cut paper edge off. If you want to cover both sides then repeat the process. Depending what you'll use the pegs for it might be easier just to paint the backs or leave them wooden and only cover the fronts. This is how I've done it in the past when I made an advent calender with pegs
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