I usually place mine on the neck edge. A wood burning pen or solder iron does quite nicely.
I've used a hole punch and guitar picks for years. I drill a hole, put some super glue in and start layering dots until the hole is filled or above. Then I let everything cure and start sanding until flush. Make sure that if the picks have print on them that you put that side down in the hole.
A while back I saw a video of making clay dots, it sounded like a novel idea to try, I did it. I got 1/8" thick aluminum and drilled the size holes I wanted for side and fret dots, put fimo clay in the holes, smooth it, bake it and pop them out. I have only done a white color and will be using black on the tricone build I am doing. at the end of the day they look fine and was fun to do. Neat thing, fimo clay comes in so many colors, so it is endless. I also imagine you could tackle doing trapezoids or some other kind of inlay too.
Diamond core drill bits will make circular dots in most hard materials from abalone shells to beer bottles and are available in inside diameters from 2mm up, though they do sell them by the outside diameter. A10pc 3mm to 14mm set can be got for under $5. Try to get a set with a hole all the way through. Some sets have a solid shaft which makes getting the center dot out neatly just about impossible.
Inspired by the people using hole punches on guitar picks I just grabbed my revolving head hole punch and made a heap of dots of varying diameters from lots of different plastic lids and scrap. No need to wreck perfectly good guitar picks when milk bottle lids and bread bag tags were going to be thrown out anyway.
I made a tutorial on how to make them out of a violin tuning peg.