I have several models that need pinning.
What drills do people use on their lead figures, I have a Dremell type multi-tool but it spins too fast to have any control.
I use the modelcraft Pin Vice, It takes bits up to 3mm i think.
A dremmel is terrible for pinning, unless you can get one with a very low rpm setting. Otherwise your standard bits are going to snap.
I have some old GW ones, but GF9 produce one, and the new GW one is just as good. Pick up a hand drill, or pin-vice as their tend to be know, and order in a load of cheap 1mm drill bits off eBay. They will set you back about £3 inc postage for 50-100. They will be made from a cheap metal, and liable to snap, but if your using them on metal models, you only get about 3-5 drills per bit, before the end gets blunt from high quality bits, so you'll be throwing them away just a fast but paying more. Buy cheap and bulk, and use them once or twice.
If you get a series of differing collets, you can then pick up varying bit widths, with obvious advantages being getting a 4mm wide bit, and using it to magnetise parts with 4mm magnets, for example.
For the most part though I just use a hand-drill, 1mm bits and a paper-clip.