AH! I would really suggest NOT trying to use a stylus or anything but your finger on the Zune HD. They are not designed for pens or anything other than your finger, and worst case senario you're going to scratch or damage the screen.
You only use a stylus for resistive touch screens which would by actually flexing the screen and pushing together two layers of conductive materials. Resistive screen are much more resilient to physical abuse, and a high pressure in such a small point may damage the glass screen on the Zune HD. Capacitive screens like the one in the Zune HD only need a very light touch from a finger, and even if you added more pressue, it would be spaced out over your soft finger not a single point of a stylus.
In anycase, I would be mortified to use a stylus on a Zune HD screen, especially a metal one that someone suggested.