Drill baby drill!

The drill bits are where to invest when pinning metal minis, most pin vices are comparable. The bit will start to blunt over time, so have some spares.

I just have an Army Painter pin vice and bits (from an old hobby starter set) which does the job. I also picked up a pack of small bits.
 
Normally for pinning you can just hold it in the hand and drill. Unless a vice has rubber jaws you may risk damaging the mini and even then it's not hard to over-tighten a vice and bend or squash a part. That said there are all manner of clever clamps (a quick search for model making vices will turn up loads from the cheap to crazy) out there for supporting things so very much depends on each use-case. I've very rarely used a vice, but then again I have occasionally managed to slip and stab myself with a drill bit from time to time!

You might want to skim over https://forum.oldhammer.org/threads/pin-vise-confusion.39297/
 
I got a double header but it annoys me cause I haven't got top to get some good pressure as it didn't come with an optional top. I had an old one that did but no clue where that got.. I also have an archimedes screw drill which the twist can really help at times, though its got a fixed size chuck (I think that's technically the chuck) which is a bit annoying, and sometimes in some metals it does get a bit stuck and the drill twists in the chuck but that's not amazingly uncommon depending on things and the drill bit itself.

I personally mostly just hold figures by hand but have a couple of little mini-vices, just don't really use them much.
 
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