Thanks for the replies everyone. Tonight I shall order myself pin vice and a set of drill bits. I will hold off on the desk clamp for now and see how I get along without it. Then, when the bleeding has stopped, I will buy one.
You have also sold me on brass rod. Is 0.5mm reasonably sturdy or do I need to go for something a bit thicker (the next available size seems to be 0.8mm)? I don’t want to replace bendy pikes with something just a prone to bend.
Finally, does anyone know whether it is possible to buy packs of drills of one size (for example a pack of 10 x 0.8mm drills)? All the adverts I have found are for sets of drills of different diameters and whilst I will buy a set to get me started it would be handy to be able to buy a pack of whichever drill turns out to be the right size for a 15mm Minifig fist.