a good quality vise will hold small items, but i know what you mean, you're not going to machine 1/16" pins very easily in a 10" 4 jaw.
There is no single answer, its innovate as the situation requires. solder the piece to a larger piece for machining is one i like, make a finger plate, make/collect small tooling, make/buy a small grinding vise. The tiny little starret vises are sometimes handy. what miniature tooling you make/buy is then easily held in a regular vise