I knew a guy who magnetized a good chunk of his Space Marine army - particularly the officers, heroes, and heavy weapons types. He had arms, different torsos, etc It let him swap out parts pretty easily. The downside, though, is that they did come apart easily as well; limbs and such didn't pop off just from a little table jiggle, but it wasn't difficult in the least to blast a mini to pieces with a minimum of effort.
I've never tried it, myself - I don't have the tools and I suspect it'll be a while before I get any, though if I spend money on a big kit with lots of options it'll be a necessity, I'm sure. Better to do a little work with magnet than spend an extra hundred bucks on extra minis for the roster.
As to pegs and such - I suspect a big barrier to that is the paint job. It's not such an issue with a big display piece that might only get handled every now and then, but having lose parts on a wargaming mini that will definitely see a fair bit of use is a recipe for ruining your paint job real quick, no matter how well you seal it.
I've magnetized the turrets and gun-mounts for three of my four Immolators (the forth, I kitbashed out of many old parts and glued in place on the top of an old Rhino many years back. Don't think I could dissasemble it for magnetization without destroying it)
Years to late but I had the same idea and this is my very cheap but creative solution, cotton string twisted into rope and pva.
The miniatures are one bit of string and the weapons are separate pva stiffened cotton.
YouTube has many tutorials on how to make rope and twist .
I used this knowledge to make models with it.
Start with the head tie a knot then twist arms from the hands first tie knots for the body snake knot and then tie the legs twist in feet first the back towards the body then finish at the tail.
One piece of string 16 inch long. https://www.dropbox.com/s/dj8ed1k1x559xny/IMAG0041.jpg?dl=0
You can untwist hands a little to get weapons through the gap then let them rap up again which holds the weapons. Very secure will never come out until you untwist them out.
My own invention.
I prefer using these then regular minis as they have movable joints.
I've also made a gorilla recently.
I can make them in less then 5 minutes.