I like to use #6 finish nails or 16 ga pneumatic 1-1/2" finish nails. For the baseboards #8 is usually needed. These are fine nails and allow you to remove the molding in the event you need to make a change in the future. If you countersink and fill nail holes you will have a neat secure installation. Drilling is only needed if the molding splits easily. The #6 nail should not split most moldings.
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