I don't do much with shelf pins so this is not a thread started by a seasoned veteran of this sort of work. After using a pegboard version with reasonable success, I spent a gift card at Rockler and got their jig on sale. The jig is 1/8" material and doesn't prove reliable after more than a half dozen holes or so using their self-centering drill bit that comes with the jig. The bit housing heats up enough to melt and stick to the plastic jig. While not fatal to the jig, it certainly could be if one does not pay careful attention .
Anyway, I got through the project and hung the Rockler jig on the wall till next time. A while later I needed to do a few shelf pin holes again. I was going to grind down a router temple bushing to accomidate the 1/8" material but, chose to glue a piece of 1/4" ply to the existing jig to add thickness. I also went ahead and countersunk the connector-bolt heads. Leaving them proud never did make much sense to me .
Our favorite gluing advice site 'this to that' recommended silicon rubber adhesive for plastic to plywood. I had some handy and so went to work. Used the original jig as a guide for drilling the plywood add-on (after the glue had set of course). The results are slower than with their drill bit but, no melting, and a smoother hole entrance so, I'm happy.