Ha! Little Shadow! I had exactly the same problem as Pitu on TWO little shadows: Wrist peg broke! On the first little Shadow I received (Shadow Mode), a piece of the peg was stuck in the hand, on the 2nd Little Shadow I received, a piece of the peg was stuck in the arm... At first I was worried too, but I managed to get both out!
So, Bamboota, you might want to try this: drop the hand in a cup of very hot (but not boiling) water for a minute or so. When the plastic is all soft, you can pick the peg out using a needle.
On the arm: heat it up with a blowdryer, and again, pick the piece of peg out of the arm using a needle. Be careful not to push the peg deeper into the hole though.
After the first peg broke, I sent a friendly mail to Cindy at ThreeA, explaining her the problem, and requesting a new peg. Without much ado, she sent me two replacement pegs. Since in the mean time, another Little Shadow with a similar problem had arrived, I was very happy about the fact that Cindy had sent me 2 replacement pegs.
The only real downside was that both replacement pegs where regular skin color. But since one of Little Shadows was the one in shadow mode (grey skin color)... . Guess I should have been more precise when explaining the problem to Cindy. But in the end, all turned out ok.