This has come up several times but I'm now in the process of finally glueing my figs up,so I can speak from experience.I'm using GW Plastic Glue & no problems almost instant bond & just snipping the pegs off before glueing works fine.I experimented both ways & just getting rid of the pegs is best,with glueing the plastic bonds so the pegs aren't needed.
So far I have completed the WotW figs,all the Lannister Leaders & The Core Lannister Cav.This is enough to give a Glue Buzz which I hope a Beer will cure.
OD
......Yes plastic Glue can Buzz you or at least give you a head ache.My painting room is rather small & enclosed (one of those weird rooms that seem to crop up in old Victorian Houses)so it can get rather intense.