I do as Flinchrocket does: saw a strip off the metal stock that is as wide as the material is thick. I then forge the strip into a rod, tapping gently on the corners to turn the square section octagonal, then round, more or less. Then I place the strip in a small vise with just the end sticking up, and forge the end to expand it. I cut off the length I want for the nail with ground side cutters to produce a chisel end on the nail, place the nail into a forming tool with holes to match the various sized nails I've made, each with a slight countersink, and form the countersink on the nail head with gentle taps.
Using the finely ground side cutters, I raise burrs along the shanks and the nails are ready to drive into the stock. I rarely use glue on the inlay, but when I do, I do some wriggle engraving on the underside first, and then use thick CA.
Here's an example: my Virginia rifle where the wrist inlay is about .080" thick, the nails about 1/4" long.