I think OP might have meant 0.025" square pins?
The round machined ones are nice for mating with machined socket pins.
Otherwise can be a looser than intended fit.
IE not a fit at all! The smaller header pins are round and 0.019" in diameter.
The larger square pins (0.025" sq) do not fit into smaller female headers, note, so you cannot mix-and-match. Also thin component wires (such as signal diodes) are too thin for the larger female headers - proper hook-up wire sets with pins on the ends fit the larger headers usually. The Arduino headers are the larger sort (which are generally preferred - the smaller sort can be used as IC sockets though).
There's a saying about square pegs and round holes that applies here!