I have had good results using my butane powered cordless soldering iron. I used wraps of copper wire to attach a large sewing needle to the tip. The 3" long needle dissipates the heat enough that the tip of the needle will bend rather than cut the 20 lbs mono I use for legs.

Radio Shack sells a variable power/speed control device that can be used with an electric pencil style soldering iron, this would give you more control.

I used to use a bodkin heated in an alchohol lamp, but it was very difficult to get consistant heat control. The bodkin needle doesn't have much mass, so it cooled or heated too quickly for a consistant temperature. Putting a large split shot on the needle helped, but the soldering iron works better....