Regardless of what sets you buy, metric, imperial, letter or number drills and what make the most important factor is learning to sharpen them, and the only way to sharpen small sizes is to use some form of jig. You will often find that cheap sets are not sharpened properly from new so they take much more force (and therefore snap), don't drill to size etc. So check and as necessay sharpen before initial use.
There is a certain amount of information on the web on drill sharpening, but read plenty as much of it is incomplete and confusing. I believe that Derek Brown had an article published in 1996 in ME where he described a jig for sharpening small sizes e.g. #42 to #80. If any knows of a copy of the plans for this jig or the availability of a copy of the 1996 edition please let me know.
A good starting point for information is………
http://www.gadgetbuilder.com/DrillSharp.html
Using four facet sharpening you will use less force have fewer breakages and cleaner holes of the right size. However four facet is not necessarilly good for drilling brass and the included angle of most drills (118 degrees) also needs to be adjusted (increased) too to prevent snagging as the drill breaks through the metal.