Specifically when fishing heavy cover do you peg your weight?  I never did it in the past, but started playing around with this lately.  Also, what is the best way to peg a weight?  I have tried toothpicks, but I heard this could damage the line.  Any input is greatly appreciated.  

almost always, i use the rubber mojo strips or toothpicks, or sticks off of over hanging trees, or jig skirts.

I very seldom peg a weight but on the rare occasion I do it's like fourbizz said anything; I've heard the old wise tale about toothpicks but in 47 years of bass fishing I aint seen it happen.

If I do peg a weight, I use a rubber pegging strip or a BPS bobber stop.

Yes, I usually peg all of my bullet sinkers, especially when fishing in grass, cover and structure.

I use the rubber "Peg-Its" (or whate ever they are called) and they work great.  

Rubber bands.

I rarely peg a weight, but when I do I use a toothpick. I keep a small pill bottle full of them in my terminal tackle case.

Try the Tru-Tungsten Smart Peg or the Bass pro Sinker Stops, they are rubber pegs that can slid up and down your line without hurting the line.And it is very cool that you can slid up or down, if you want to peg it or leave the rubber peg up your line to let the weight be free sliding. They are in the Bass Pro Catalog on page 330.

What I like to do is put two of the pegs on my line,one ahead of the weight and one behind the weight. This way if you slid the peg that is ahead of the weight up your line and then push the peg that is behind the weight up your line now, you have a C-rig and then if you want push them back to the hook for a T-rig. By doing this you can make any leader as long as you want without having to retie!

I always peg, or I use a shaky or football jig type hook.  Don't know what my "pegs" are called, but they are basically tapered rubber strips about 3 inches long. Slide them through the bottom or top, then clip the ends. Work great.

When fishing heavy cover i always peg. allows me to penetrate without resistence.. i use rubber strips or screw loks

Always in cover! I use a tooth pick or a Bass Pro bobber stop.

If fishing heavy cover I like to peg my sinker to the head of the lizard or worm. The corkscrew bullet weights are great for thiz. When the rig is falling down, the tail of the worm or lizard really ripples.

My favorite though, are the parasite weights. These are the easiest and most realistic to rig.

http://www.parasiteweights.com/