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I've bought some resin bases to put my Esher on, but I have no idea how I would be able to drill pinning holes in their super thin feet/legs... Any tips how I can pin them to the bases?

theres not much you can do. drilling very small depth holes in the feet if possible may allow a pin to be used into a piece of cork or something similar. arent the miniatures metal?

Yep they're metal. I've never pinned a mini to their base before, so I don't have any experience with it. Could I do it without pinning?

You can, but the bond won't be very good. Drilling and pinning the Eschers isn't that hard. It just takes small drill bits and a lot of patience. The ones in standard firing poses are actually pretty easy to drill. The more dynamic ones are tougher to pin.

i've never pinned a metal miniature before, i usually just built their bases round the slotta, mostly out of laziness i guess but it probably wouldnt be too hard..

Skinny legs aren't an Escher-exclusive issue - many Infinity and Reaper figs have the same issue, which means plenty of people have found a way to make it work.

As mentioned, thin pins, equally thin drill bits, and a bit of care render the task perfectly possible, if somewhat fiddly. I'd recommend a wire-gauge drill bit - something sized in the upper 70s - and a head pin (a small size, like you'd use to secure cloth for sewing). They're cheap, quite stiff, and rather skinny. To resist torque and therefore actually increase strength, you really need a bit of depth. With a tight fit, a few millimeters will suffice. Even this usually means going up into the ankle/calf, though, if you aren't talking about chunky Orks and Space Marines. Unless the pose is really dynamic, you can usually manage this by starting your hole close to the back of the heel and angling it slightly to follow the lean of the leg.

Flattening the sole to ensure maximum contact when it's time to glue goes a long way towards a strong join, too, as does extending the thickness of the base with a layer or two of styrene sheet or a blob of putty on the underside.