Thanks to Jessi for this Frugal Baby Tip!
Just to throw this out there - besides keeping pins in soap, you can also keep them in a tin of wax (I use an old tuna tin). When it breaks up after so much use, just re-melt it over the stove. Be sure to have some pliers handy! Also, some people like to run the pin along their scalp right before pinning, using the natural oils.