Reverse is the Gear to select, you'll also be less likely to bend the shaft too.
I've had a few over the years that have been really hard to get started, what I have done is ground up an old screw so that some of it can sit inside the roll pin but also some of it sits on top, kinda like an extension to it, but only about 1/8" (2 - 3 mm), then I've used Vice Grips on that to start the Pin off by pressing it, once it moves that first bit, they tend to come considerably easier.