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I use a normal engineers drill press vice, you really don't need it to do anthing fancy and all the ones sold as pen blank vices that self centre or some other function lack the basic functionality of being bolted to the drill table and thus need to be clamped in position.
Something like this Axminster one with a v-slot will help keep the blank vertical:
The best way I've found is drilling the blank in the lathe. I mark and centre drill both ends and turn between centres and then put the turned (now round) blank in the chuck for drilling.
My two Pen Presses. Main one a I Ton bearing press adjacent t5o where I turn sitting,at eye height easy to see and use. Behind me a Zylis Vice in simple form (it is a system of many parts) I use for longer needs.