I use a sewing maching needle, they are a little tougher and stiffer than a regular needle. I have not tried to use any sort of a depth guage with them, I just eyeball the hole, keeping it as small as possible. I also poke the holes while the soda can is still full (don't shake the can before you poke the first hole), it makes it easier for me to control the can without crushing it...
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OBG