Back in 2002-03 I sat down and put some steel pins in the Death Giant, the first move on it since the 80s. It involved pins, drill bits to correspond, a little oil and patience. I believe I lost two bits in the process, as the deeper the bit made its way into the metal the more it bound and, eventually, they broke, lodging into the piece.
Here's a map of how I pinned this guy, blue lines show the original separations, the pink is the actual steel pin.
The worst part was the hole in the upright arm (holding the axe, as seen on the box-art) that was drilled to match the pin on the main body. The first attempt snapped the bit, this was a dead-center of the piece drilling that had to be abandoned for another hole parallel to the first. It worked out in the end, although I may shore up the arm with more support when I get to it.
One thing I favor for really strong support is aligning the pieces, clamping them together, and drilling straight through the surface that will eventually be painted. This creates a perfectly matched mating of the pieces, and the left-over hole can simply be puttied over and hidden. It's more accurate and much easier than drilling two separate holes in two pieces and trying to get them to mate properly. I've got to make sure the pin is slightly shorter than the hole so it won't stick out.
I glue pins with a cyanoacrylate and the working time is very short, so I dress up the pins to make them as effective as possible: at both points I chamfer the ends, that is: file a slight taper so that the pin will pass into the hole smoothly without any cutter-snipped edges binding before it makes it all the way in. I also notch the pins slightly with a file so that the glue has a physical hold on the metal. It take a little bit more time but I do want to make this as secure as possible.