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I pin my riders to their horses before I paint them.
Slightly undignified, but fundamentally, using a small hand-held drill with tiny bit I make a hole in the rider's posterior, then one in the horse' back in the middle of the saddle.
I then push a pin into the hole in the horse, snip it off leaving about 5mm proud, add a little superglue, and push the rider onto it with as much force as is needed to keep him there. You might need to hold him a little bit for security.....
One pin can normally do two horses.....
In addition, for those soft-legged airfix horses, I pin through the base, into the belly of the horse and out the saddle so that the rider is pinned to the horse, the horse is pinned to the base and has a bit of support.