Well...
... I was going to say "try a half nut on the thread" but before making a total twit of myself I put some callipers on the thread of mine - 9.3mm OD (which isn't exactly helpful), and FWIW the clamp's thread is similar. The unthreaded bit isn't circular, but is around 8.35mm. So that ain't gonna work.
But mine don't rotate easily - they're actually quite stiff. Could you use thread-lock? It's not as if you need to change the amount the peg projects too often (for the fence application, anyway). Other things that might do it (without doing damage or gumming it up forever) include PTFE tape (of the water plumbing sort - gas tape is a bit thicker), or possibly something like a shellac-based varnish (let it dry before reassembly). Meths will remove it if you need to.
It is rather a shame - if they had stuck to standard thread, say 8mm, a locknut would have been the perfect solution.
Hope one of those does it for you. If it turns out to be some thread form that is a standard (somewhere!), please post it up, as I'd be keen to d othe locknut thing if mine loosen up - lacquer would work, but it's a lot more faff.
E.
PS: there are two generic types of thread-lock: obviously use the sort that allows later disassembly, not the permanent one!
