I've always been doubtful of this idea. The vibrating part of the string isn't in contact with the pins, and the pin itself has no resonating qualities, so how much difference can the pin material make? I can imagine there might be just a slight influence from pins made of something much heavier and harder, such as brass, but I'm still sceptical. Martin Carthy certainly used to use brass pins on the wound strings, but I've a feeling even he's reverted to plastic or wood.

A zero fret will make more difference, as would a brass saddle if your guitar's bridge plate is sturdy enough to take the extra weight.