On the heels of John LeMerise's need to make crank pins for a Kato Mikado for his PRR I1s project, I tested out my idea of making them by turning down some wire nails. The short answer is I think it works great.
I did it with stainless steel #17 wire nails (because the store didn't have #19, which are thinner, requiring less turning-down).
Home Depot does have the #19, but they just didn't happen to have them at my store today.
I also made some with regular steel #19 wire nails. It is easier to make them from these because the steel files down more easily. I still don't think that the rods are going to wear down a steel pin, even though the rods are harder stainless. But if you worry, then make them from stainless.
Here are some photos: