After a not-so-great experience using the hot-pin method to pierce my doll's ears (melted plastic and black soot), I decided to try drilling them with a miniature hand drill instead. It leaves a perfect hole with no jagged edges, very clean and uniform. This will work on any type of doll - Blythe, Middie Blythe, Pullip, American Girl dolls, etc.
To get started, you'll need a pencil, a miniature hand drill, and a small drill bit. The drill bit should match the size of the hole you want. You can also use a power drill, but it may be harder to hold it steady for such a tiny hole.
For American Girl and Blythe dolls, the factory-drilled holes are much larger in diameter than what I ended up with, so they won't be able to wear stock earrings. But this size will work for regular ear wires if you want to make your own earrings.
Using the pencil, make a dot where you want the piercing to go.
Start drilling, making sure you're holding the drill bit straight and not at an angle. Little twists of plastic will start coming out the sides. Once you've gone all the way through, remove the bits of plastic and you're done!
One of my Pullip dolls, Cornice, came with factory piercings and earrings that go through the ear lobe instead of into the head. You could also make these using the hand drill.
Just add some earrings and you're done!