OK, I found out what went wrong! Stupid, stupid, stupid me!!!! As I placed each pin, in order to keep from accidently moving it I "Locked Actor" under the Objects Menu. Once I disabled the lock actor setting on the pins I can parent the pin to the head and it stays there. Always make sure you Uncheck the "Lock Actor" setting with objects when you want to save as a prop! I can't believe I did something that stupid, well actually yes I can in all honesty! Thanks again for everyone's help, I hope I can be a lesson to you in the future.