Silver head pins can cost a pretty penny, but making your own is simple (if you have the tools). I recommend using fine silver, as it balls up better that sterling. I used 26 gauge wire, but you can use 22 gauge to 26 gauge and get the same results.
Butane micro torch
Silver Wire (22 - 26 gauge round)
3 x 3 inch scrap cardboard
Cup with water
Bent nose pliers
Step 1: Cut Wire Into Strips
Make sure not to wear loose clothing,and tie up long hair. Keep your torch over a nonflammable surface (I used an old cookie sheet.)
1. wrap the fine silver wire around the 3x3 square of cardboard. Clip the ends on either side, to create strips of silver wire.
Step 2: Heat the Wire
2. Turn on torch, and use the bent nose pliers to hold the wire into the flame. You need to hold the wire in the hottest part of the flame.
Step 3: Move Wire to Create Ball
4. Slowly move the wire down as it balls up more. when your done (the ball at the end is the size you desire), dip the wire into the cup of water. You can set it aside and move onto the next strip.
Head pins are used for things like wire wrapped gemstone dangles, for jewelry. You can have much better control over the quality of your work when you make the components yourself.
Forgive some of the angles, I had to take pictures while using a torch. not easy! :)