I’ve seen several recorded performances of this trick, and watched it live at least once—and yet this is the first time it dawned on me that there is no trick to this trick. (i.e., I’d bet that if you take just a moment to think about this—even if you’ve never touched a nail gun before—you can think of at least two totally different ways to modify a stock nail gun or fabricate a fako, and once you accept that the nail fun is gaffed, then there isn’t a memory trick at all, just some patter).
In fact, there’s a degree to which this trick is about the trick’s tricklessness, if you catch my meaning: It’s about delivery and panache and the fascination that comes with the risk of grievous bodily harm. It is an amped up, thoroughly Modern America version of Barnum’s wonderful(!), stupendous(!!!), incomparable(!!!) Egress.
BONUS: Penn & Teller’s greatest of misdirections—They get you caught up on the idea of being live and doing camera tricks, thus distracting you from the obvious explanation revealed at the end—AND THE FACT THAT THEY DO USE CAMERA TRICKS!!!
 Specifically, they play with what areas of the camera frame you naturally assume are and are not accessible, and thus where you do and don’t look for them ditching “vanished” items.