I dutifully bought the Privateer Press drill and drill bits for each of the sizes of brass rods about two years ago. But 1.25mm and 0.85mm brass rods have been out of stock for over a year. (I think almost two years on the official site.) I emailed customer support and got the very unhelpful, "Thank you for contacting us. Unfortunately, we are completely out of that size and do not have a restock date. Sorry I can't be more help. "
So, are the rest of you machining your own brass rods, or what are you using?
Yes, you can get drill bits in appropriate sizes, and there's pin vices that can hold a large range of bits easily without needing to swap jaws or anything (eg drillbitsunlimited.com/Aluminum-Pin-Vise-with-Keyless-Chuck-and-Ten-Piece-Drill-Set-P5682685.aspx ) The smaller bits break easily so be carefull and buy spares. Also, there can be a huge difference between a sharp high quality bit and a cheap or old blunt bit, so buy high quality bits if you can; you'd be amazed at how much difference it can make.
Never used brass. Recently, I've been using the leftover metal rods from my kids' 4th of July sparklers. Just clean off the leftover soot and off you go. I also use nails of different widths, thick paperclips, and tacks. Anything works, as long as it's metal and free.