To prevent pegs from slipping you want to use chalk but not blackboard chalk.  It should not contain lead.  We sell a rosin made especially for sitars pegs that prevent the slipping.  And you can find that in our Accessories page here:

 http://www.sitarsetc.com/sitarpages/strings_and_things.htm

But in general, most students do not apply sufficient pressure in pushing the pegs in the peg hole.  Since they have a very good instrument, they feel that they must be extra gentle with it, but there must be sufficient pressure applied to keep the pegs for slipping.

Recommendations for  tuning:

 

Use a electronic Tanpura, piano, harmonium, keyboard, tuning fork, guitar, or other means of obtaining your Sa tone.  I would suggest using an electronic Tanpura.

 

Indian music uses the natural scale as opposed to the well tempered western type tuning scale.

 

The best way it can be described is that the notes in the natural scale travel when sounded in a sine wave pattern and when two notes are sounded, the combination meshes or they travel together in sync and you can hear the difference between this "sync" and the tempered scale if you have a good ear, but in general, they sound mellow together as opposed to discordant.  There is a certain relationship between Sa and Pa or Sa and Ma or Sa and Ga that can only be learned by listening to a tuning and the sounding of the notes.  Learning this relationships will help you tune to the natural scale.

Tune the 2nd string, the jora, tuned to S. and make sure you applied pressure to the peg as you tune it.  Then pull the string up with your fingers away from the sitar neck.  Let it return to its natural position and sound it.  If it has stayed in tune, then go on to the next step, but if it has not, then retune it.  Keep doing this until the string no longer is out of tune when you pull it away and it returns back to it normal position.

Then tune the 1st string.  Follow the same procedure, but instead of pulling the string up, pull on it from the ri fret, that's the 8th fret to do a meend all the way to pa. 

Keep adjusting the string until it is in tune and you can pull the meend and the string does not go out of tune.  After tuning the 1st string, you must go back and tune the 2nd string again.

Then tune the 3rd string the same way you tuned the 2nd string.  Go back and retune the 2nd and 1st strings if they have gone out of tune.

Then tune the 4th string following the same procedure.

Then tune the 5th string, the 6th string and the 7th string.

Re-check all the top strings. again.

Tune the sympathetics starting at the shortest one, to whatever raga you are
playing.

as an example:
Raga Bilawal

From the shortest
R' S' N D D P M G G R S N. S

Use chalk or rosin by roughing up the peg a little with coarse sand paper,
placing the chalk or rosin on a paper towel, and rubbing it on the peg and
then replace the peg.  Do the procedure a couple of times on the pegs
affected.

It is normal for the strings to give.  It really isn't so much the pegs
slipping, but rather the string giving a little.  Eventually the strings
will settle and the problem goes away somewhat, but you will always have to
do the pulling and retightening in your tuning procedure, even the best and
most costly sitars cannot avoid this, it a part of sitar tuning