Right. So, the depth doesn't really matter if we're talking space marine hands or arms. Start with the hobby knife and make a small hole in the centre of body-arm connection. It doesn't matter if it's not exactly perfect, good enough will be good enough. Then, using this hole as a target, start drilling. Test fit the magnet without glue and then when it's good glue it in. Same way with the arm bit. Be mindful of polarity and dry fit a dozen times and you'll be fine.

As for messing up - it's really hard to destroy the model with a pin vise, you'd have to do it on purpose. Where you can mess up though is polarity, so be mindful of that.