@burcinc-- That's odd, usually a wrist pin doesn't require replacement at all. Are you sure that there is nothing wrong with your piston?
A wrist pin is located inside the engine piston and the only reason I can think of that's causing the wrist pin to wear out so often, is if there is a problem with the piston itself. Sometimes if the piston is not functioning right, it can cause excessive heat that damages the parts.
So you might want to get that checked out. Maybe it's the entire piston that needs to be replaced and not the wrist pin? This doesn't happen often but maybe there is a problem from manufacturing.
Also, the steel used for wrist pins don't need to be extremely dense or thick because the wrist pin actually needs to be flexible and have some room to move around inside the piston. A more expensive wrist pin is not necessarily going to work better or last longer than a cheaper one.