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Sometimes I purchase side markers, such as abalone shell or mother of pearl. Sometimes I burn them in with a wood burner. Sometimes I make my own from abs plastic or brass with a 1/16" punch. Sometimes I use the heads of small brass nails. There is one post somewhere here on website where a guy rolls his own from glue and black construction paper.
Wes Yates uses the construction paper method.
I prefer to use bamboo shish-ka-bob skewers.
I drill small holes, fill in with a contrasting wood filler, then sand smooth. Works for side markers and fretboard markers as well. :)