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.
Hi Rose (and others). It has been very cold in New York (and elsewhere) this winter. Relative humidity is completely temperature dependent (warm air can hold a lot more moisture than cold air). A relative humidity of even 100% in 0 F air is practically no moisture at all.
The good thing about a violin in this weather is that they are relatively small and they do not expand and contract as much as a cello or double string bass, and the hide glue that holds them together should give way before the top and bottom plates crack, but they certainly can and will crack. I definitely favor the use of a humidifier in the case, as well as mopping the floor. You might want to shower without an exhaust fan on the very cold days as well!
Without deviation from the norm, progress is not possible. —Frank Zappa
The future is already here—it’s just not very evenly distributed. —William Gibson
Its the heat in the home that is drying the air. In my home in September the humidity can reach close to 80%, in early January it was 38%. I have a humidifier but chose not to use it, preferring a pan of water set under my violins. The pegs used to spin in the middle of the night causing the cats to jump really high. The pegs have stayed in place this winter and the violins are sounding very nice again.
I agree that it sounds like your heater is most likely drying out your violin, causing the peg slips. The fiddle I keep in a case with a case humidifier does fine, but the couple I have hanging on the wall for easy access are all out of tune from slipping pegs.
World's Okayest Fiddler