Sorting your own drill vice
If you haven't got a set of Micro drills, you should. You'll find getting collets to fit these tiny drill bits is a bit hard (and probably expensive if getting a bunch). So to get going without the hassle of swapping drill bits over, you can add mass to each drill bit instead, saving you some time and money in the long run.
Use some pliers (with teeth) to grip the drill bit close to the blunt end.
This is a 0.45mm drill bit or there about.
Use a dremel (with diamond ball grinding tip) to grind the sides of the drill bit. Try not to put excessive pressure. The idea is rough up the surface.
The technique is done to a larger sized drill bit so you can get a better idea what to do.
Wrap some thin gauge wire tightly around where you just worked. Then add a bit of superglue to secure it in place.
The more it's been roughed up, the better the wire can grip the drill bit.
Now go hunting for thin tubing and pipes. On such a small scale you may find wire sleeves useful.
Those silly Scooby doo cord things are also good. Heat shrink tubing is also great!
Once you've found something, glue it in place.
Moving up in size - Cotton buds (Q-tips) and lollipop sticks make a good selection.
Find a good size match for your drill bit and superglue the piece on. Allow to dry.
You'll probably want it to be a bit chunkier so gripping will be easier, back to the hunt for more tubes!
You could use a bead towards the tip as a grip or other bits if you want.
This one is just the cap from a paint brush with a slit along the side to allow it to open up and fit onto our new drill bit.
It will take a bit of trial and error to find the best and most comfortable position to use the new drill.
Dry fitting is recommended. The length doesn't need to be super long, it depends on how you want to hold/use the drill. Cut down length bit by bit until you find it comfortable to use.
After you got a good length, finish it off by rounding off the blunt end. This will make rotating the drill bit easier on your hand.
A red sewing needle was used in this drill bit (inserted in the end and glued in place).
If the weight isn't too heavy, you can store these drill bits along a magnetic strip.