To etch a letter, start with a large copy of a single letter. I had to blow up some fonts to size 500 or larger.
Start digging into the rind with your tool (mine is another Pumpkin Masters tool) but don't go all the way through the rind. For the first two pumpkins I made, I thinned out the rind and then etched my letter. This was the backwards way to go, as I etched too far into the pumpkin and tore through the rind.
I made a monogrammed pumpkin for every member of our household this year, with the fonts matching personalities. Take a look:
The "R" is Copperplate Gothic Light. The "P" is Lucida Handwriting. You can see where I broke through the rind before I changed my technique.
The "A" is Monotype Corsiva. The "S" is Harrington, and the "B" is Engravers MT. I made these the proper way: scoop first, then etch, then thin. The rind is paper thin. I have a tear or two, but no big holes.