4. Adding the magnets to the body.
PAY GOOD ATTENTION TO WHAT YOU ARE DOING!!
Obviously, magnets have a given polarity. So it's not a matter of jamming some magnets into tiny holes that you drilled out. If you make a mistake with your polarity somewhere, you're basically boned... because the holes you drill should be so precise, that the magnet is a really snug fit. That snug fit however, means the magnet isn't going to come out any time soon after the superglue has set.
So what I suggest, is to do one FULL TEST model before you move on to any others. That one testmodel will determine the polarity of the magnets of all miniatures to follow. This is done so all the miniatures are full interchangable.
Step 1: Getting the body done.
Luckily, for the FIRST BODY you do, you won't have to be worried about any polarities, but you will have to start worrying about that once you start attaching the arms. Once you attached those arms, you can trace back the polarities that will be needed in ALL OTHER bodies from that point on.
You first start by adding 3 or 4 (again, depending on interchangable heads) magnets to the body. It's rather easy for a straight surface luckily. Just take a single magnet and let it attach to a steel stave with a flat end and a noticably larger diameter then the magnet. This can be the “none sharp end” of your 4mm drill, or (as I have used) the back end of a sculpting tool.
Just add some superglue into the hole, press the magnet in firmly, so it sits flush with the surface. Once it's in and the superglue has taken a bit, slide the holding stave down the surface and your magnet should stay in nicely and flush. Do this for all 3 or 4 holes in the body.
Step 2: adding the magnets to the parts that will attach to the body.
Explaining how to take polarity into account is pretty tricky using pictures, so I used my leet paint skills to make this simple diagram to show you how it's done.
Like I said: check, check and double check before you jam your magnet into the opposite part. If it's not right, you are boned. Use that same method of adding the magnets to all parts and bits that you want to magnetise. I cannot do an example for every single magnet I used in these grey knights, but I have taken a picture of a magnetised grey knight that was “disassembled” to show you were all the magets went in this badboy.
Now remember: this is only for a SINGLE weapon configuration. Adding additional weapons however should be easier and take less effort. If you want to add falchions for example, that'll only take you 2 extra magnets, because the arms already have them! Same deal with the personal teleporters. Swapping backbacks should only be a 1 magnet affair, so is the demonhammer or a halberd (if you convert them slightly to be carried by a single hand, rather then two → more on this later!).
Step 3: Making the rest of your models.
Once your FIRST FULL Grey knight is done, you can start doing the others. Using the method to get the polarity right, you can start working your way back to adding the magnets to the rest of you bodies. Just use the magnets in the arms of your first grey knight to get the polarity right for all the bodies of the other guys to follow.
TIP: Make a mark on the bottom of the base or something, to remember wich guy was the “template” sort of speak, for the polarity of all your later miniatures.
A little planning ahead, will get you pretty far. As an example of this, I will show you two pictures of a single body from a grey knight with two different weapon configurations. ALL these weapon configurations are interchangable to different bodies, because the polarities all match.
Doing this on a whole army scale takes some planning. Especially when you consider that the bottleneck for your options will be the shoulderpads.