I guess it would depend somewhat on what you are inlaying. A simple way, as related here by Don Getz is to drill a hole, say .062 through the inlay, take a wire brad, say .075 or more and taper it, tap it into the hole till the friction of the brad holds it fast, cut and file smooth. For silver, I do as Mike suggests and make tacks from scrap. I do make a head on it thou by holding my formed wire with pliers and putting a torch to the end till it beads up. Drill a hole through a piece of steel the diameter of my wire, counter sink, it insert the wire and tap the bead till it forms to the countersink, use the same countersink on the inlay.
Robby