Step 1: Preparing the vice
The drill press vice comes with a puny piece of steel holding down the floating jaw. In my case I need a lower support for my roller so I needed to upgrade it. I found an old clamp piece from a bed frame that I had saved. It was solid and fit the bill nicely. In addition to the rollers I also had some brass bushings and plastic bearings. I used a short piece of aluminum track and a little UHMW plastic to house the bushings. At the end I drilled down through my new hold-down plate. This will take all the forward thrust when I tighten the roller on the workpiece. Essentially this pushes the upper bearing back against the floating jaw.
If you don't have that I suggest you use an angle iron on the jaw like the original picture and then drill down through both to support your roller. A vice and a step drill bit make this operation a lot easier. A drill press is best but a vice is essential when drilling metal. Never attempt to drill metal without one.