This kit is insanity. Those drill bits will munch through whatever you throw them at, but as they are tungsten, they are brittle. I've had a set for 2 years and recently snapped one while, admittedly trying a very odd angle to be drilling. I use them with a hobby drill, the little handheld ones. Work awesome.
For pinning a ball socket, put a dab of paint on one side, insert into the socket, and when you pull it out, you have markers for both holes.
Aside from that, 2 part epoxy. Smells like shit, but it doesn't fuck around. Pop it in, then use a clamp, rubber bands whatever you can, to hold it in place for about 8 hours.
Or you can use a normal drill bit to scratch up the inside of the ball joint, and the ball joint itself. Little cuts and scratches will give the super glue more to hold onto, giving it much better grip.
I haven't had to replace them yet. But if you need a new set I would probably go with something like this:
Carbide should stay nice and sharp for a long time to come. Plus with that particular set you can get a variety of sizes and they should fit into your pin vice. I would make sure to double check, or just buy a pin vice that would fit it. Bonus: if you ever get a dremmel these will fit right in for all your pinning needs! They are also available on eBay, not sure of the price difference though.
I don't own these but a buddy said one of his friends got them and loves them. Hasn't had to buy a new set in a while.