You can mig weld the pinholes and smaller holes shut. Just use a copper block on the back side. The weld will not stick to the copper, help keep the hole from getting larger as you weld, and end up saving you a lot of frustration. When you are doing this, do it like you are doing tack welds to help keep the head down and avoid warping the metal. Once they are welded shut, grind em down!
If you come upon a area, such as a floor pan, with a ton of pinholes, it might be faster and easier to cut out the area an weld a patch in. It is kind of a judgement call.
Oh, and if you try to put the welder to those rusted areas directly, it will pop and make it bigger. Cut and clean all the rust you can out of the parts and life will be simplier.
, and sand the surface of the metal before you shoot primer. I never really understood why bead blasted metal is smoother than sanded, but primer doesn't stick as well to a blasted surface as it does to sanded.