This is an old technique and has been around a while, so if you already know it don't read any further.
If you are to using a finish nail or brad and are nailing it in with a hammer, and don't have the correct drill bit to pre drill a hole, take one of the finish nails (a straight one) and cut off the head. Use the nail in your drill pointy end into the wood, and drill a hole.
When hammering in the nail, stop when the nail head is just above the moulding, and seat the head into the moulding with a nail set.
If you are to using a finish nail or brad and are nailing it in with a hammer, and don't have the correct drill bit to pre drill a hole, take one of the finish nails (a straight one) and cut off the head. Use the nail in your drill pointy end into the wood, and drill a hole.
When hammering in the nail, stop when the nail head is just above the moulding, and seat the head into the moulding with a nail set.

Seriously, good tip. I've used it a couple times. You can also leave the head on and use the drill to spin the nail into the wood, then use a nailset to seat the head.

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