We had a pledge retreat in which we did pledge nicknames, and other fun stuff like decorating waterbottles and arrows (big cardboard arrows that had stuff all about ourselves on them!). We also had weekly pledge meetings and sisterhood events to help us bond with the chapter. One big thing we do is "Yack N Snack". Basically each room in the house sets out food and the pledges come from room to room eating and talking their way through the house. The girls who live out tend to set up shop in the formal room and it's so much fun!
My pledge class wasn't as close as the other pledge classes but we've gotten better since Freshman year.
Jess