Since pegging is a term associated with a strap-on used anally on a male partner, I don't think he's ready for pegging. It sounds more like he is ready for anal exploration. This isn't the same as pegging. However, we do agree with you: do not start by pulling out a strap-on. One issue involving women is that usually when they engage in pegging for the first time, they go at it a little harder than they should because they've never had a penis. They get really excited.
So, as far as the butt plug - that's a good place to start with anal play. Start with a very small butt plug especially if he hasn't done anything anal. From there, as you guys get more comfortable or as he feels more comfortable with anal play, you can move on to something larger. Then, over time maybe move to a very small strap on to peg for the first time.
