Bridge pegs ought not to be tight (see below) - I find pushing the string down the hole a little is enough to release them. It takes me 10 - 15 minutes without a peg winder.

It's very important to take the tension of the string in your right hand whilst winding with your left, so that the string winds neatly round the post. That helps the string to stay in tune.

Bridge pegs ought not to work loose whilst bringing the string up to tension, either, if you do it properly! The purpose of the peg is merely to deflect the ball-end at the bottom of the hole so that it is pulling against the underside of the belly...