I've seen pics of people using a c-clamp with a socket that just fits over the pin on the fixed side of the clamp.

I made my own press but it required some welding. It is comprised of two half-inch threaded bar couplers and a short length of 3/8-inch steel plate. The couplers were aligned with a long bolt with a gap between them that is sufficient to span the cotter pin and a plate was welded to each of the couplers. A bolt with a 10-mm allen head on one side drives the pin through the press. I think this is similar in function to presses that are commercially sold.

This press works great both for removing the pin and inserting the pin back in the crank without damaging the threads and it works very well for both of these tasks. Note that you should not count on the cotter pin nut alone to apply the clamping force to insert the pin.

I've used the hammer method too but I've mashed some threads even when I leave the nut on before wailing on it. The press allows for a more controlled removal and installation so you don't mar up your cranks (or even the pin) when dealing with cottered cranks which are sometimes made from aluminum which is softer than a steel pipe.