The main variation is, instead of sticking the needle through and then sanding off the burrs produced, simply dimple the material and sand through the dimple. This will generally produce a "better" hole -- rounder, more controllable size (stop sanding when its big enough), smoother, thinner edge -- and isn't much more work.

You can also buy laser drilled pinholes, or buy steel twist drills in sizes down to something like .010" (or 0.25 mm), or even use a battery, small capacitor, needle, and some wire to "blast" holes in foil with a spark.