Trying to be historically authentic, I made up one of the old peg wound wooden capoes (I think they called them a "Choker" back then) for my 19th Century gut strung parlor guitar.

Apparently some European Classical Guitarists still use that type, but I've never seen one in use here in the Colonies.

Do you have one of those in your collection?

The fiddle peg has to be rosined up pretty well and I use a heavy string, about what you'd use on a bass, which I wrap around the neck padded with a leather strap.

(Photos of an unfinished prototype along with illustrations from an early Justin Holland Guitar Manual):

http://smg.photobucket.com/albums/v53/UncleJaque/MUSIC/INSTRUMENTS/GUITAR/19th%20Century%20Parlor/