I take my warp thread and hold it to the peg with my finger at the 1/2 point around the last peg. Then, while holding tension on the warp thread, I fold over the warp end over on itself at that point, and tie the loop end into a knot about an 1.5" or so, back away from the loop end that was located on the last peg. Then slip the loop onto the end peg. If you are afraid you'll lose tension, you could wrap the warp end around the previous peg a few times to lock the tension, once you find your location. Then tie your end into a loop. unwrap the tension and put the loop onto the last peg. Thats how I do it.