For years I've done all my pinning with brass rod, simply because "that's how it's done" and then I found comments here about using bits of paperclip. The traditionalist in me resisted at first, but I eventually relented and gave it a go.
It turns out, it works great, but I had trouble finding suitable drill bits, unless I bought sets of micro drill bits and that left me with a dozen or more sizes I'll never use.
As always, I figured I won't be the only one, so I've sourced some 1/32" (about 0.75mm) bits that are perfect for the job.
Like tyres and lingerie, it seems that price is inversely proportional to the quantity of material used, so they come out to $1.50 each, which seems a bit of a swizz, but seems to be a competitive price if anyone needs them?
http://www.themanufactorum.com/misc/index.htm
I did have to buy rather a lot to get the supplier to agree to just the one size, so let me know if you need multiples and we can work on a price!
Simon