I finally broke down the other week and picked up one of these to help me pin the more delicate pieces I have in my projects.
To be honest, I wish I'd bought one sooner.
Until now, I've been using my regular cordless drill with a tiny bit attached to it. I wasn't having a huge problems with this setup, but it was a little awkward when it came to drilling some things. That and I was constantly breaking the drill bits and having to buy new ones.
But this little hand held thing has no trouble with plastic or pewter. It comes with a few extra bits so I'm not too worried about wearing one down any time soon. Even if I do, I should be alright for a while.
I've used it a bunch of times so far. From drilling out gun barrels to pinning models to bases. The drill bit is the perfect size for the large paper clips I have lying around. They fit nice and snug with no extra room so the joint is good and solid.
I've used it to drill out arm joints and hands as well and I've found that if I take my time, the manual drill doesn't deform the piece I'm drilling and cause problems with splitting or opening it up. Another very nice feature.
If you don't have one and you find yourself needing to drill out pieces so that you can pin them together, I would highly recommend you get one of these. The one I have comes from GW, but I suspect any brand will work just as well. They run about $15 and I would say to make sure you get a quality one (regardless of the brand you end up with), you don't want this breaking on you and you don't want to have to buy another one later on because you went "cheap" the first time around.
If you're going to be doing the kind of work that requires drilling at this scale, go ahead and get something that won't cause you any more headaches. Once you have it, you'll wonder how you worked without one.
Make sure to check out these posts as they might help:
The sculpting tools I use
A look at the paintbrushes I use (multi-part series)
Pinning the old metal Bloodthirster model