Some suppliers have shocking prices for such things as machined pins and sockets. Ever look at what DigiKey charges for just one of those plastic keying plugs used for header sockets?
I stocked up years ago on machined pins that were on nice little aluminum carriers. You drill the holes, put the carrier and pins in, solder, then remove carrier.
I suspect such carriers and pins still appear on the market. Electronic Goldmine doesn't seem to have any today. It does have machined pin sockets for less than $0.03 per pin. They are easily pressed from the plastic.