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I use center drills in a drill press too. I find it easy to hit dead center and the center drills don't walk. Once started I go to a twist drill. Be cautious of heat build up. Not an issue really...

Lots of horror stories out there using a Dremel. I tried it early on but it's just too easy to make a mistake and end up with a broken blade or worse. You'll get mixed reviews on its use. Some folks...