I have tried to reply to the Small Drill thread which is currently active but have had no luck so will add it as a new thread.
To drill a #71 hole across a 5/32” rod you could try this method, it needs to be done in a drill press or drill/mill with a vice that is fixed to the table. I’ll use some sizes to help illustrate the method so just change them to suit the size of material you are working on. Do use a new or known sharp drill so stop burrs occurring.
Take a 3/8” square piece of bar ¾” long and square off one end then put a mark on one of the long sides to identify it. Close it in the vice that is fixed to the drill or mill table with the marked side against the fixed jaw and standing on the squared end so that the drill lines up approximately in the middle, no need to measure just do it by eye then lock the table in both X&Y directions if on a mill. Drill a hole that is a close fit for the 5/32” shaft right through. Now loosen the vice and put your shaft into the hole just drilled, turn the piece on it’s side with the marked face still against the fixed jaw and close the vice. Now with the #71 drill in the chuck drill down through both the pieces and the shaft. The hole should be central to the shaft as both drilling operations took place the same distance from the fixed jaw.
Remember to stand the piece of bar on a parallel packing piece and remove the packing before drilling either of the holes so you don’t drill into your vice.
I’ve used this method successfully to drill 1mm holes in a 3.2mm shaft for the smokebox locking handles on a Gauge 1 engine.