With regard to the chuck size and it's ability to hold the smaller bits, I purchased a pin vise from a local RXR hobby shop made by "Mascot"... roughly around $10. It's not very high-end, but it works well for me. At first I thought I screwed up and purchased the wrong size for what I needed (I was drilling portholes in a ship's hull, 1/350 scale).
What I found was that if you unscrewed the collar on the chuck, the "jaws" would slip out which revealed an even smaller set of "jaws" machined into the other side, making this thing reversible. But... I found that when you got down to the really small sized bits (0.3mm for example) there was some slippage. I needed to crank down pretty hard on the collar to get the bit to stay put.
I needed to lubricate the threads on the collar to get that extra "oomph" (technical term) needed to bite into the bit. I used a block of paraffin, drug the threads over the paraffin like a cheese grater filling the threads with wax, and screwed the collar back down. Worked like a charm.
The drill bits from "Hawk" mentioned in an earlier post can also be purchased in a 0.3mm to 1mm set (16 bits in all) and then another set ranging from 1.05mm to 2mm (another 16 bits). Each packet was something like $5 or $6 and were purchased from my local Hobby Town USA.
They are supposedly High Speed Steel, but I won't be testing them out on anything other that my pin vise. With anything down in the lower range, I chuck the bit close to the tip. If I can't, then I go super slow... by hand. No power tools. As to sizing, I truly don't know how these metric measurements correspond with the labeling of a #60 or #80 bit. That 's something where I need to dig deeper.
As to another source for really small bits, if anyone has access to used dental drill bits... those work great too. Those things get tossed out all day long. But be careful. All you need to do is drop it and it shatters. That might be going above and beyond the call of modeling... making friends with dentists. But if there was, say, a cute dental hygienist.......
Matt