Attaching servo horns

It is probably a dumb question, but how are meant to attach servo horns to the mechanism they are meant to move?
They are very slender and the holes are tiny so any normal small size screw or bolt would severely weaken the horn at the point of entry.

You can use very small self-tapping screws, or use circle horn and drill bigger hole (for example 2mm for M2 screw), there is more material.

Smaller bolts?

A piece of stiff wire with a small loop on the end...?

Depends on what you're attaching it to and how flexible it needs to be.

General technique is to form a small "Z" shape on the end of the push/pull rod and thread this into the small hole in the servo crank. The attached link gives the idea :
http://www.ebay.com/itm/WLToys-Part-V911-23-Servo-push-rod-w-ball-link-for-RC-Helicopter-V911-USA-/190851869682

Yes, Z bends with two 90 degree bends at the end using steel wire in various gauges. R/C supply centers sell 'pushrods' of various lengths with threaded adjustable 'turnbuckles' on one end for fine adjustment of length.

I have used lots of these:

Pushrod Snap Connector

Radio Control Planes, Drones, Cars, FPV, Quadcopters and more - Hobbyking4365__Pushrod_Snap_Connectors_1_5mm_5pack.html?strSearch=pushrod

boylesg:
It is probably a dumb question, but how are meant to attach servo horns to the mechanism they are meant to move?
They are very slender and the holes are tiny so any normal small size screw or bolt would severely weaken the horn at the point of entry.

I use hot glue to attach things to servo horns. hot glue is strong, but usually can be removed easily. You have to make a hole in what is being attached so the servo horn screw can be accessed.

I have used lots of these:

Pushrod Snap Connector

Erni, I'm not able to imagine those deployed. Do you have some pix of examples in use please?

JimboZA
You can see it here, they call it Kwick-Link

You can see it here, they call it Kwick-Link

Ohhhhhhhhhh! Mental note made. Thanks Erni.