Actually for stuck joints you want to freeze the figure. Making it warm (like with hot water) will make the plastic softer so you are more likely for the peg to tear (off). If you freeze it it makes the plastic harder. Just be gentle when trying to loosen it.
Good point. I was thinking more along the lines of glue and maybe loosening it with heat or melting it away but the cold probably makes more sense. If the cold doesn't work try heat and hopefully you can get this resolved without any breakage.