The pin should not melt during the brazing process.

You need to use a pin of steel (even a finishing nail) for the steel lugs, and if using stainless lugs with a pinned construction, you should use a stainless steel pin.

Pin on the underside of the lug whenever feasible, and make the pin to hole fit quite precise.

After brazing, the pin will "vanish" when filed and sanded flush. If done properly, you positively cannot detect the presence of a pin. With painted lugs, this eliminates filler use, and with a stainless lugset (subsequently polished) no trace of the pinned joint can be detected.

You can purchase small diameter taper pins from numerous hardware specialty stores, that are fantastic for the job.

On a side note, when you drill the pin hole. do not chamfer the entrance, leave it alone. After the braze, and during cleanup, the pin will become perfectly flush without a bit of file work to eliminate the detectable chamfer (or more typically, a "ring" of solder) that will be visible if you chamfered the hole.