Black Dragon,
Many people use different methods. In fairly soft metal, one can use a dental pick to poke a small hole; or as
Ptifall noted, one can use the tip of a sharp #11 X-Acto knife. But I prefer a pin vise myself; more control on both size and depth of hole, without the worry about getting the hole "too large at the top, not deep enough to get a good hold".
What size depends on what you're using for your antenna. If you're not sure about the size, start "small" -- maybe a #78 or even a #80 bit. If the hole is too small, you can always enlarge it. However, a "too large" hole (within reason, of course!) is generally not a problem, given that the glue used will usually fill in the gap between the model and the antenna.
The "trick" with the pin vise and small drill bit is
patience -- work slowly, and be careful not to "wobble" from side to side -- with those small drill bits, they're very easy to snap in half. Hmmmm... maybe that's why they're often sold in "multiple" packs! And yes, I've broken more than a few over the years...

But with a little bit of practice, I think you'll be very happy with using a pin vise and the small bits. You might use a dental pick (or some other sharp, pointed object) to make a "starting point" for your hole; then slowly drill the hole to the size and depth desired. Some folks use a lubricant, such as beeswax, to ease the cutting a bit; but with the pewter GHQ uses, I've not found this to be an issue. Maybe if I were drilling in brass...
As for where to find pin vises and drill bits -- many hobby shops that carry model railroad "stuff" have well-stocked tool areas. (Said hobby shops often have lots of stuff we can use with our Micro Armor -- especially tools, paints, and scenery elements!) You can also find them on line; two retailers I've had good success with are:
Micro Mark
and
Walthers
Hope this helps!
Regards,
Tom Stockton