Second the recommendation, it's definitely worth it to have one, or more, if you like.
I have the double-ended style that HooYah showed in his post, though mine has just the two sizes of clamps. I got it years ago at a HobbyTown, but I can't remember the brand-might have been Squadron's. But you can find them easily enough. And you don't have to spend a lot of money; even the cheaper ones are pretty well-made.
I do all of my fine drilling, on styrene, resin, or metal, with a pine vise. It takes me longer than if I were to chuck a bit into my Dremel or a power drill, but I like the control I have in using the pin vise. In my own experience, the power tools use too much power, too much speed-even if you run them through a rheostat-and are more prone to slipping or other damage, than hand power.