When I started pen turning, I used to drill the blanks on my lathe, which was accurate but time consuming. Then I bought a good quality bench drill which I use in conjunction with a pen blank drilling centre vice. I find this much quicker than drilling on the lathe and I haven't had a single cracked blank or blow-out since adopting this set-up. I have also had no problems with the drill bit wandering off centre, although this is due as much to the quality of the bits I use as to my bench drill. My bench drill is a Bosch PBD 40, which I have had for about six months. I am really pleased with it and would heartily recommend it.
Somebody will probably post in reply that there is something fundamentally wrong with using a Bosch PBD 40, but my experience is that it is a high quality piece of machinery that does an excellent job, so there! :rasp: