Pinning is quite simple (I find) and incredibly useful. Let's answer some of these questions:
1. What materials do I need?
a. What kind of drill?
b. Where is a good place to get it?
c. Types of drill bits? Sizes? Brand?
d. Types of pins? Where do I get these?
Mainly, what you need is a pin-vice or a dremel tool. Pin-vices you can probably get at your local hobby store (I got mine from a HobbyWork's store near where I used to live. Hobby Town, USA should probably have it as well and other Model Train/hobby stores should also carry them). Worst case is you can probably get them at your local
GW shop...but they'll probably be much pricier than getting it from an independent hobby store. Dremel tools can usually also be found at some of the bigger/better hobby stores, and I believe at some hardware stores (I'm pretty sure Home Depot/Lowe's sells them). Most people seem to prefer the corded Dremel tools over battery powered ones.
For pin-vices, I got one that came with a set of 10 bits of varying sizes. I never really looked for any brand in particular, mostly just went for which one gave me the most bang for the buck. I'd say try to get a variety of bits...it all depends on what you're pinning with.
As for the actual pins, it depends on what you're trying to pin together. For smaller pieces, I tend to just use small bits of paper clips, and they tend to do the job just fine - especially if you're pinning together plastic figures and smaller metal pieces together. For larger pieces, I go with some thicker-gauged brass rods - which you should be able to get in some of the better hobby stores/model train stores. I think
GW also sells some, but undoubtedly at some higher prices. I got a bunch of brass rods from a hobby store a while back that also included 2 pin-vice bits that were the appropriate size for the rods, so that might be something worth looking into.
2. Tips on how to do this without drilling holes in all of my fingers?
a. Do I put the figures in a vice to pin?
3. Any tips in general on how to Pin and how to not maim myself are greatly appreciated.
General tip is to just be careful, and try to not have your fingers in the path of the drilling. I don't have a vice myself, but I tend to lay whatever piece I'm trying to drill as flat on my table as possible to get better stability. I don't have a dremel, so somebody with more experience with that could chime in.
Hope this helps