So not really sure what I am doing on this aspect. Went and bought a pin vice I think at hobby lobby not really sure why the pins it came with dont all fit. Went and got some more bits from a local train store there also too small. The bits pieces actually fall back in the storage area of the body of the tool.
I will break down my answers to make it a bit easier. Most, not all, pin vises have reversible metal chucks. If you unscrew the chuck all the way and try to pull the "bit holder" out it should have a different size underneath. They also usually store another "bit holder" in the handle. If yours is plastic or does not have a second "bit holder" I cannot help too much. Another pin vise might be beneficial. Possibly one like this.

My second question is on how to get metal pieces to stick. Again at Hobby Lobby I bought testors cement for metal and wood models. Getting wierd results. It does stick but what I would compare to hot glue bond. it sticks kinds but the bond is weak and easily break. I have tried roughing up the surface area. no Difference.
The glue from testors is not the best. Try cheap superglue. Once you have the pinhole drilled, drop the superglue in and add the pin. Let it set. Then clip the excess off and use it to mark or score where the receiving hole will be. Drill there and drop some super glue in again and stick the parts together. My experiance with the testors glue has been poor. If you do not want to use superglue, then try some two part epoxy resin. It will get similar results.
Hope that helps.
Snitchy sends.