The pegs should be tapered, to match the taper in the holes.

If you "unseat" the pegs by pulling them slightly out, they should turn easily, and when you get the pitch you want you push them fairly firmly into the holes so that they hold.

A little peg dope helps keep things working smoothly, and most people "dope" the pegs whenever they change a string. (It's almost impossible to get the dope where it's needed without removing the peg.)

If you've just been cranking the pegs without unseating them, you likely have worn the holes (and possibly the pegs) so that there's no taper, or not enough, and the holes are no longer round, so the pegs don't hold because they're now just straight dowels in elliptical holes (in the area where they contact each other).

(The same thing happens eventually even if you do it all right, but it should take quite a while.)

Lack of humidity shouldn't prevent you from getting - and staying - in tune. A new set of pegs, with proper length and taper, and perhaps slight reaming of the holes to restore their taper, should put you back in shape; but if you're not skilled and equipped with the proper tools this is NOT a DIY job.

John