Folks typically want to know what "Poking is-- and that makes sense.  However, when I tell them that they "Poke with a Pin" (a Quilting pin .65mm in diameter, see Pictures below) most start to laugh.  
Why they laugh I am not sure, but it does seem to happen most of the time.  I believe they think they will have to poke themselves with the pin as if PBYS were some sort of medieval torture.  Well, fret not.  You will not poke  yourself with the pin.  You will poke your cigarette: 
Please notice that a "POKE" means to stick the pin entirely through your cigarette, and the poke is in the tobacco portion of your smoke just above the filter.  One "Poke actually makes two holes-- one on the way in, and a second on the way out.  The reason for the placement of the holes above the filter is so that you cannot (well, not easily anyway) cover the holes you poked with your lips when you smoke it.  
Note the Mfg Holes in the Mouthpiece
The effect of poking holes in your cigarette are explained elsewhere on this site, so I will not go into that here.  You would be surprised at how many "pokes " you can put in your smoke.  Below is a cigarette with 25  "Pokes"-- that means 50 holes-- all in less than 1/2 inch of the length of the cigarette.  One successful PBYS user was up to 104 pokes before she "quit".
As a general rule, carrying a Pin is pretty easy.  You do need to have the pin with you at all times (See the Rules).  There are several easy ways to carry a pin.  Most PBYS users put it in their cigarette pack.  I have inserted a pin in a standard 7mm lead pencil (see Below) which works well.  
If you do decide to use a "Pin in a pencil", you will have to put a small bend or crimp in the dull end of the pin to keep it from falling out.  The pin can be pushed back into the pencil for safety by pressing the point against a fingernail (or some other hard surface while depressing the (lead) feed button after you have used it.
What is important is that you have a pin-- or something that will serve as a pin on you at all times so that you can "Poke your Smokes".  If you find yourself without a pin, you can use a paper clip, the pin on a piece of jewelery, or almost any pointed object.  As you will find out when reading the PBYS RULES, it is important that you "POKE BEFORE YOU SMOKE".
What is Poking?