First, wear eye protection. No point in losing an eye in the process.

A quick note about the jig:
This is a jig that I've fabricated from a flat piece of metal and two aluminum strips. Nothing fancy about it, but it does make the job of keeping things aligned a lot easier. You won't really need this jig to build ball and socket armature joints, but if you plan to make a lot of joints, it's a good tool to have.

A scale picture of the jig can be seen here.