I use small pins, brads, ship-building nails, whatever I can find with a head size that I can live with. It does require drilling a small hole for every rivet however. I cut off the head with a bit of shaft left and CA it into the hole. It goes without saying that this is easier to do the larger the scale. I have also used the CA dot method but for larger heads or orky stuff where the sizes of the heads could be different.
To give an idea of the sizes possible, Ork hob-nailed boots:
After doing this one I changed to the 'glue in a brass rod and cut off' method!