I acquired a piece of coroplast used for a temporary sign where my wife works.  Through exlperimentation, it has turned out to be a pretty good surface for pinning parts during construction.  The plastic seems to re-form around the pin and holds it in place.  You must stick the pin through the second layer to keep it from wiggling, but once in place, it stays there.  I placed it on a piece of MDF, which accepted the point, but I didn't have to use a lot of pressure, like that which would be necessary to stick the pin directly into the MDF.  I imagine the coroplast can be bought from a sign maker, as they use it a lot for signs, now.   FWIW  Glen