I have a drill bit that I use for pinning. You can get galvanized wire in 20ga for dirt cheap from some hardware stores, just like where I got my drill bit.
I use a 1/32" drill bit, which makes a snug fit with the 20 gauge single strand wire.
You might consider the material of the bits you're acquiring, I'd be relatively sure that you can find decent bits in smaller sizes online if you look a little more. Look for titanium or high speed steel, generally those work well for me.
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