Here's a bone bodkin I use, which you can just see in use in the 2nd pic;



Old time hat pins work well, too. You can often find simple brass-headed ones. Look in junk shops, antique stores, vintage clothing shops, and Granny's old hat box!

The little picks used for cleaning the vents on flintlocks also make nice bodkins:
http://www.trackofthewolf.com/(S(3ft...um=PICK-VENT-3


Finally, some folks have had good luck using these hair pins as bodkins:
http://www.craftycelts.com/hair/lightpins.html