I tried that years ago, never had much luck with it's funtion, although it looked good. Mine was not a good fit, always loose. The set screw was tiny and could not be tightened properly. I wrapped my peg in small pipe strap, then fit this peg over it. That worked for a short while, then I gave it to someone who needed one on the board.
Maybe others have tried it and had better luck?
Tundra,
I think you may be referring to the Kuryakyn 8851, which slips over the existing peg.
http://www.directlineparts.com/product.asp?pid=2847&str=2I (and I believe the other posters) was referring to the Harley peg that requires grinding off the existing shift peg and drilling and tapping a new hole to mount the new peg (KUR-8021 or KUR-8004)