When I built my Ork in Mega-Armour, there was a piece that needed pinned:
Even though the need to pin models isn't as frequent nowadays since GW (and other manufacturers) have greatly increased the quality of their plastics, it still a useful thing to know. I thought I'd do a basic write-up on how I do it.
The first step, obviously, is to determine where the piece is going to go. Once I have it placed, I make a mark on the model where the center of the piece will be. Then, I use a pin vice to drill a small hole:
(You don't need to drill the hole extraordinarily deep or anything, a quarter of an inch or so will do). Next, clip off a bit of brass wire (available at your FLGS, or in a better-stocked hardware store):
I kept the length short, but still a bit longer than needed for the finished product - this makes it easier to work with.
I put a drop of superglue on the end of the wire and insert it into the hole:
Making sure the wire is sitting at the proper angle (i.e., not leaning wildly) I leave it to dry.
After the glue has dried, I clip off the wire about a quarter of an inch above the surface of the model:
Next, I take a black marker and rub it on the end of the wire several times - the goal here is to get a good build-up of ink on the end of the wire:
Next, after carefully lining up the piece to be attached, I press it against the wire - the ink will leave a mark on the piece. This is where you need to drill:
When drilling, I periodically test-fit the piece to see if the hole was deep enough yet. After it sits flush against the model when the wire is in both holes, it's ready to glue - put a drop of glue on the end of the wire that's sticking up out of the model, and a small amount where the flat surfaces will touch, assemble the model:
I was a tiny bit off, and it hung over the back edge a bit - maybe a sixteenth of an inch or so. Luckily with this model, I was able to clean it up with my files and it wasn't noticeable.