I had my daughter's ears pierced at about 3.5 months, and I got her little diamond studs that she couldn't stick her little finger in and pull them. She did great with them, and they never bothered her, nor did she mess with them at all.
I've heard people say that, but I also hear that when you're older it hurts more than when they are infants. My mom thought it was a good idea and agreed when I told her. They do look so pretty with them and since i'm still friends with my former mother in law, she sent me some cute baby diamond earrings for her. I took her to the mall, at a store called Clairs. She didn't really fuss either when i tried to clean it.