I used a small hand drill to start the holes in the arms and the shoulder. Then I cut and slowly made the hole bigger until the magnet could fit without sticking out. I put a little bit of green stuff behind the magnets with a fair amount of super glue to hold it all in place. I think it turned out pretty well. I plan on doing the left arm as well so that I can change out the primary Lightning Claw for Power Weapons or a Power Fist if needed.
First time trying this, but here is a video of switching arms:
And the usual pictures...see if you can spot my assistant who always shows up when I am working on Warhammer models.