Homebrew PCBs

So what do you guys use for drilling boards? I have a cheap drill press which is barely adequate for occasional drilling, but there's enough slop in the quill that it's extremely difficult not to snap off <1mm bits. I've had the best results using the manual mill at a friend's machine shop but it seems silly to use a 3HP spindle to turn a .85mm bit. I almost bought one of those little Dremel stands since I have a couple of the rotary tools but I've heard they are flimsy and don't work well. Is there a good low cost option or am I best off just building something myself?