I have a small vice that I use to pre-peen one end of the rod first. You tighten the jaws of the vice together with a card or something similar that is a tiny bit thinner than the rod. Then you use a drill the same diameter as the rod to drill down the card, leaving a cupped hollow on both jaws of the vice.

Now carry on with as much rod protruding from the tightened vice jaws as you would have with pinning. You can anneal it if you like - it anneal better like this, as conventionally when you get that rod up to cherry red heat the colour flows down the rod as quick as you like, and all the rod ( the length you will be using, not the whole rod!) gets annealed and therefore very soft, so much so that it can buckle in the tang when being peened. This does not happen with the vice - only the head gets cherry red, as the mass of the vice conducts heat away from the base of the rod.

Remember to let the pin get cool, or quench it in water (makes no difference) before touching the scales with it.

By the time you have finished peening, the end of the rod will be work-hardened again. You can turn it around and anneal the other end if you like (if the jaws are small enough, on a proper sized vice they will have too much depth to them).

Personally, I hardly ever bother with annealing - I buy fully annealed rod.

I find this method helps, especially with collarless pins.

Regards,
Neil