First thought is to shove in harder when you're tuning. That's critical to getting them to hold. (Cheapest option, but also one you've probably already tried.)

Second thought is to use some peg compound on them.  Basically, peg compound has just the right stickiness to move when you put pressure on it, and not move when you don't. It's just not very strong, which is why you put it on the the pegs. Biggest downside of trying peg compound it that you have have to unstring and restring the violin to apply it. Make sure you do just one string at a time. You want to keep the overall tension on the violin as close to normal as is practical.

Third option - switch to geared pegs. That's why I did. I prefer Wittner's, but some people prefer Perfection Pegs. Either get the job done. (Since the tightness of the Perfection pegs is adjusted by pushing them in or pulling them out like normal pegs, they can slip sometimes if they're not adjusted to be tight enough. (You don't make the adjustment but once in a blue moon, but you may have to at some point.)) The higher gear ratio of the Wittners make that unnecessary. They're easy to turn, but hold solidly. (This is the most expensive option, and will also require restringing the violin.)

Last option, contact Fiddlershop and make arrangements to ship it to them to be worked on. Their instruments have a lifetime warranty for that kind of stuff.

I was just reading another thread where they mentioned that low humidity could make pegs slip, too.  So you might want to check the humidity of your house/apartment.