Nail instead of drilling pilot hole in wood
The idea of a true pilot hole is to physically remove the material from the wood so the body (aka 'minor diameter') of the screw doesn't have to expand the wood to make room for itself, possibly causing the wood to split.

Click for larger image. Image courtesy of Home Stratosphere

Using a nail to form a 'pilot hole' is simply going to expand, not remove, the same material around the nail. While driving the nail in then waiting and finally removing it might allow some time for the wood to uniformly compress around the distortion and stresses, it never removes the material so you are still in danger of splitting the wood; particularly in dry wood.

If you need a pilot hole that still needs to provide purchase for the threads to tighten upon then drill a hole the size of the minor diameter. If the pilot hole is intended so that the screw pass through unimpeded then drill a hole at the size of the shank (aka 'major diameter') or slightly larger for clearance.