Just like anything mate it is right or wrong depending on which effect you want. Care is needed across the grain, laminated blanks, Ebony, Snakewood and beware of complacency. Holding the blanks at the drill press requires flexible movement via Vees in the Vice jaws to allow setting up to get the best results. If you cut blanks or buy them in the lathe drilling can give most accuracy using blank jaws or four jaw chucks for holding.
Peter.