Infinity has always been challenging when it comes to assembling the finer minis, it's the price we pay for metal sculpts and realistic proportions. Thankfully the 3D sculpted minis have better contact lugs than some of the older models although I still find myself cursing when the wrist on a supporting arm doesn't exactly match the hand on the separate weapon arm and the superglue just decides it will mimic the sticking properties of water!
First tip is to get yourself some thin drillbits and a pin vice. I exclusively use a 0.5mm drill and brass rod from this
P3 pinning kit that I can obtain in my FLGS. I think the drill bits have since been replaced with a pack of ten I got cheap off eBay. I used to use a 0.8mm and snipped rods from paperclips but found that was too fat for some of those wrists, ankles, antennae, etc. It was also more effort to drill so I switched to the thinner method.
The 0.5mm drill is good for even thin wrists, etc, though a tip is to use a safety pin or something to put a dent where you want the hole to be. Sometimes the drill bit can wander when you're starting the hole and this can be a good guide to keep it in place.
One of the trickiest parts I find is the shoulder where the angle of the arm is tangential to the torso and there's not much depth to drill into. In this case I just drill right through the shoulder of the arm so the drill comes out the other side and then after it's glued then I'll snip it right back and file it flush. Pretty sure I used that trick on my Op:Ice
PanO female Fusilier.
Because the contact points are better these days I tend not to pin as much as I used to and only really do it on load-bearing joints.
For all joints, after gluing with superglue (over the optional pin) I then reinforce with a green stuff / Milliput mix. I mix the two because I like the malleability that the grey Milliput adds but the GS means that it's less inclined to crumble.
Anyway, hope that helps. That's the method I use and have got fairly proficient at it so the assembly phase is not as stressful for me as it used to be.
I'm sure there are plenty of other approaches that people can share as well
