Pinning figures to a dio.

I don't know about diorama's but I've used pins before to hold metal figures together.  I just drill the bits with my pin vice and use pieces clipped off of metal paper clips to hold together. You'll probably have to use super glue to keep everyting together.

Wirraway, yes it works well for me. Adds a little more strength and stability to the figure. I've never used plaster as a base though but I assume it would work the same way. Just drill a hole in the plaster just big enough to fit the pin or wire or even copper rod, depending on how sturdy you want it to be. A little bit of glue in the hole as well, and there you go. Like I said, never used it on plaster but it works like a charm on celluclay and foam bases.

Ditto to the above.  I use 1/16 bailing wire for the pin.  I just drill the holes in the heel (or whatever part of the foot touches the ground) and a corresponding 1/16 hole in the base.  Hit both holes with a drop of superglue and insert the pin.  It works great every time.

Almost all my figs are pinned to bases, whether single or in a vignette/dio; metal, plastic or resin.  I drill a 1/32 hole in one or both feet and use a length of brass rod. This is also how I hold the figure when painting.

I just drill a hole on the bottom of the boots and insert shortened  toothpicks. Not the sknny flat ones but the thicker rounded ones.

Another important question about drilling for the pins/rods. (I don't mean to be hijacking your thread, Wirraway).

How does one drill holes in both the figures' feet and base so as to make sure that they are straight with eachother, preventing the figure from being placed at a wrong/unnatural angle?

Small guage brass rod in quite bendable and can be adjusted. If in doubt, use one pin.

Since I use the toothpick method, I drill the hole in the base just a bit bigger then white glue is used in the holes and the figure inserted and positioned. Its nice and solid when dry.

All the suggestions here are valid ,I would only add that with some metal figs with a metal pin need 2 part epoxy to secure them. Also the pin diameter should adjust with the scale of the fig ,smaller diameter pin for smaller figs etc. I have a 1/48 airfield dio upcoming with over 50 figs at last count ,I made it easy on myself and got some psp for the figure area! All the figs are pinned and base coated,1 pin each , so I'll be able to move them around if needed.Here a fig shot...

I've used the pinning method occasionally in the past as well. Most of my figures are simply white-glued to the base. My base is almost always a celluclay mix.

I've never had any problems with figures coming loose.

If you just use a pin in one leg, it allows you to more accurately position the figure in the scene if required. This allows the figure to pivot into position and you can make fine adjustments to things like facing, line of sight etc. 

I usually use a pin in each leg to secure in my painting block, then when ready to mount the figure on its permanent base, remove one for the above reason. 

If you do want to pin both legs, you can put a dot of black paint on the end of each pin and touch the pins to the base, leaving a black dot on the base where you can drill tghe corresponding holes.