You could try the self tapping method first, although I'm sceptical that a self tapping screw will cut a thread into a roll pin?
If you drill first and snap the bit off in the pin then it's 'game over'.
Use cutting fluid or oil when drilling and try to keep the drill bit cutting, if the bit starts skidding then the pin rapidly begins to work-harden. As you say, spinning the pin out may be your final option? I seriously suggest you use a bench drill to do this, and not a pistol drill.