I had a lot of trouble with this when I started welding. Tried the penny thing and all sorts of stuff. It justs takes practice. I can now weld in holes very easy with nothing behind them. Play with your wleder settings. Start on an edge, and pull it across the hole. Or larger holes, go around in a circle building the edge and then you have it filled.
If you are getting them filled but have pin holes, I'm guessing you need to turn up the power on the welder a little and play with your feed rate. Use thin wire. Or you need to clean things up with a wire wheel. I'm assuming your using a MIG.
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