Good question! Toothpicks are not ideal for pegging beads. Not only are they not natural looking, but they can swell when they soak up water and crack a bead.
There are a number of pegging materials you can use that work well. Jelly Cord, Monofilament and Pegits to name a few. You can see these three plus toothpicks in our video entitled Four Ways to Peg a Bead.
One additional pegging material that is new and becoming very popular are the Troutbead TB Peggz. They are very similar to the Pegits shown in the video only they are double ended so you can peg 100 beads with 50 pegs.