Obviously you're going to need glue to do conversions or assembly. I've tried nearly every glue on the market, and I don't think there is much advantage to any one over another, yet I do have my favorites. Generally you'll need 2 bottles of cyanoacrylate glues: one thick and slow-drying, one thin and fast-drying. The fast-drying still takes about 30 seconds to cure enough that I'm comfortable setting the piece down, maybe longer if you're working on metal-metal joins or you used a lot of glue. But there are times when the parts are small, or fitzy, or need to be held just so (like with a little tension), and the thin glue works well for that. It also works well for dribbling down jeweler's chain, guitar wire, etc. to freeze it into place without obscuring the detail.

But for most gluing now, I use the thicker glue with accelerator, which I find extremely helpful. I cut down on the time I spend sitting perfectly still, waiting for glue to set so I can put down the figure and start another. This is especially useful because I green stuff all gaps and joins generously in lieu of pinning most parts. So not only did I cut down my glue drying time, but my pinning time as well. My typical approach is to use a thicker, slow-drying glue applied to one part and a thin film of accelerator on the other part, then just press together for 2 seconds. You have to be confident in the fit, so dry fit a couple times for practice, but then you're ready for green stuff in 2 seconds.

I fill all gaps and cover all joins, usually with green stuff (modeling putty) but sometimes with thick glue (cured with accelerator, of course). I am too particular to let something like that slide, and it helps me to develop my sculpting skills which come in useful for conversions. I am also fairly generous with the amount of green stuff I use. Sometimes I use just enough to do the job, especially if there are nearby details I don't want to mess with, but often I use enough that I can spread it out over an area around the join. That way I can be sure that it won't look like there's a join there, and it also helps support the piece.

Having been on the receiving end of hundreds of packages containing miniatures, and on the shipping end of no few packages as well, I know the value of pinning a figure. On the tabletop it may help, but in long-distance transport, it helps not at all. Pinned figures break just as often, and just as badly, as unpinned figures when exposed to the rough handling of postal workers. So if I pin at all, it is only to help support the part while I sculpt around it to secure it. This attitude has carried through into my conversions and scratch-built projects as well. If I need to attach wheels, I generally drill holes and run an axle through rather than pinning the wheels onto the frame.

It's my opinion, based on my own experiences, that sculpting a part to another with green stuff is much more secure both on the tabletop and in transit than pinning alone. It secures the entire joint rather than just one place, retains the adhesive benefits of any glue you may have applied, and if breakage does occur, gives you a nice socket to fit the broken part back into (but this rarely happens). So I am generous with the green stuff not just to hide the joins better, but also to provide more support to the parts. In my experience, milliput, Apoxie sculpt, resin, and other more brittle modeling compounds do not prevent breakage as well as green stuff, which may retain a little of its flexibility even after cured, and tend to crumble or flake off if damaged rather than retain their shape.