I usually leave the frag on whatever it came attached to, then work it into the space I'd like to place it. I have clipped the peg off of some plugs, which usually isn't too hard to do with a pair of pliers or sturdy wire cutters.
Sometimes, I'll do like DoctaQ said and frag off 1/2 or so of a coral and put it on something that works better into my reefscape, let the part on the original frag heal up, then trade away that original plug of the coral for something different.