Well you could by 1/32" ones (0.8mm) which is about right for a 3mm or 1/8" shaft from the usual ME suppliers
If you want to make your own then in the past I have filed 0.5mm steel wire down to half thickness and then bent to shape. A shallow Vee milled into some flat bar holds the while while you file it.
Finished job through 1/16" diameter pins
