Safety pins are extremely useful for many different things, and so it's not a bad idea to keep one or two with you. Attaching them to your SAK is one way to do that.
You can store a safety pin in the corkscrew of a Swiss army knife by opening the corkscrew and threading the safety pin onto the spiral. If you do it correctly so that the safety pin stays essentially aligned straight with the body of the corkscrew, then when the corkscrew is closed, the safety pin won't stick out, won't interfere with the corkscrew closing, and won't come off until you open the corkscrew again and twist the safety pin back in the opposite direction. This is an especially good option if you have a Victorinox model with nylon scales. For some strange reason, the nylon scales don't have a slot for a straight pin, and so adding a safety pin to the corkscrew is a good alternative.
You can also use the safety pin as a lanyard attachment point, but it's only useful if you've removed or lost the keyring, or if you permanently ground/filed off the keyring attachment point. In that case, a safety pin threaded onto the closed corkscrew will work as an alternate place to attatch a lanyard.
If you carry a mini screwdriver in the corkscrew, then a28mm 19mm size safety pin should be able to fit at the base of the corkscrew while still allowing enough room for the mini screwdriver to fit. I've tested it on several knives and all of them worked.
edit: here's a crude drawing

click on the image to see the full view in a new window
28mm 19mm seems to be a magic size for a safety pin, because it also seems to work well on the 58mm Victorinox models. Just put it on the key ring. It doesn't really seem to get in the way of anything, or interfere with any of the tools. If it ever does get in the way, then you could simply remove it and put it back on after you're done with whatever you're trying to do.
edit 2: I have a box full of different safety pins and I got the sizes mixed up. I wrote 28mm when in fact I had been using the 19mm size. I have gone back and corrected this post after realizing the mistake I made.
You can store a safety pin in the corkscrew of a Swiss army knife by opening the corkscrew and threading the safety pin onto the spiral. If you do it correctly so that the safety pin stays essentially aligned straight with the body of the corkscrew, then when the corkscrew is closed, the safety pin won't stick out, won't interfere with the corkscrew closing, and won't come off until you open the corkscrew again and twist the safety pin back in the opposite direction. This is an especially good option if you have a Victorinox model with nylon scales. For some strange reason, the nylon scales don't have a slot for a straight pin, and so adding a safety pin to the corkscrew is a good alternative.
You can also use the safety pin as a lanyard attachment point, but it's only useful if you've removed or lost the keyring, or if you permanently ground/filed off the keyring attachment point. In that case, a safety pin threaded onto the closed corkscrew will work as an alternate place to attatch a lanyard.
If you carry a mini screwdriver in the corkscrew, then a
edit: here's a crude drawing

click on the image to see the full view in a new window
edit 2: I have a box full of different safety pins and I got the sizes mixed up. I wrote 28mm when in fact I had been using the 19mm size. I have gone back and corrected this post after realizing the mistake I made.
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