Since they have so many parts, I think pinning is essential when assembling Heavy Gear Blitz! miniatures. Otherwise, they break or shatter very easily.
Now I have to say a few words first: I'm no professional modeller. Neither am I a pro painter. Take the following with a grain of salt and try things out for yourself. Because you're working with small parts, you have to always use your judgment and be careful so you don't mess up an expensive miniature.
1) Be careful with your hand drill. Use light pressure to create a guiding hole and don't let the tip of your drill move around. I don't know how many guns I've destroyed; thankfully, Blitz! miniatures come with enough spare guns to field a couple small armies.
2) Don't use too much glue. If you're pinning, you want just enough to ensure the pin is solidly in place and keeps the joint solid. Soak any excess glue off with a bit of tissue, so as not to have dried superglue masking off your mini's details.
3) Keep your workspace neat and all you miniature parts in safe compartments so you never throw a Gear's arm with the trash. Yeah, I did that. You can point and laugh now.
And... Voilà!
Feel free to give me feedback, as I'm always eager to improve my modelling skills.