One of the guys here on the forum (can't recall the name) mounted his pegboard on firing strips over the sheet rock panels. He also filled in the space between the firing strips with styrofoam sheets. The sheets do a couple of things, one, they stiffen up the pegboard to help keep it from flexing/warping, and two, the styrofoam helps keep those flimsy hooks snug into the pegboard. You could 'frame' the pegboard and still install the styrofoam board behind the pegboard, or do the firing strip/styrofoam approach; your call. I've never been a big fan of pegboard, but it does serve to keep those odd sized items somewhat organized.
Please take pics and show us how it came out for you.
Another thing I've considered (may be OCD) to do is paint my future pegboard installations. I live in a moist climate and the paint would help seal the pegboard and help it blend with the shop wall color. Once I decide where everything should hang, I intend to outline (magic marker ?) the tools to help me keep track of what goes where. One last twist I will do is to use the mylar foil faced styrofoam boards behind the pegboard so the holes holes have some 'bling' to them. lol