Ndo,
I totally agree with you and did exactly that. After mounting the very expensive R&G Adventure Bars, I bought a pair of Kuryakyn Trident ISO #7560 highway pegs, a pair of Kuryakyn Peg Mounts #7573, and a pair of Drag Specialties Frame Clamps for 7/8" bars, all in black. These two sets cost a total of $105 plus tax.
Mounting them was relatively easy, although I discovered that the clamps around the bars could slip even after tightening them down quite a bit. I inserted a thin strip of rubber between the clamp and the bar on each side. The extra friction seems to have done the trick.
After returning from a 250-mile lunch ride today, I took several photos of the highway pegs as they are attached to the adventure bars.
Don