I used to drill my PCBs using a normal, heavy driller (I guess that's why the mm tick bits usually didnt last too long ;)). I had a Dremel but I didn't use it for that, because I was used to the heavier driller.
Then one day I saw this "Dremel Work Station" on sale, which is basically a drill press with a few extra features. Dremel's ads are always mentioning the excelent precision of their tools, and I thought that would be handy for PCB drilling. So I bought one.
Well, I must say that it was rather disappointing, at least for the price (~60euros). The press has a lag of maybe 1-2 mm, which seems little but is enough for you to drill completely out of the spot. When the rotating bit starts touching the PCB, the rotation makes the Dremel deviate 1-2mm (the lag) to one side, and you drill in the wrong place.
I wanted to return it to the store, but I still needed a simpler way of drilling... then an idea came to my mind. If the press always deviates to the side, then let's make the deviation permanent! The fix was easy; just attach a rubber-band! It pushes the Dremel body against the press's arm, completely removing the lag. You should attach a strong one or several of the "normal", weaker ones (as I did).
[[BR]]
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Here's a video (really just an image) of my results with a 0.5mm drill bit held by Dremel collet part# 4485:
http://www.youtube.com/watch?v=1NClF35nd3s
NOTE: I didn't tighten any extra screws - just put it together as normal.
Anyways, forget the rubber band and just tighten the screws to the bare limit as amarquez originally suggested; this will remove the lag. I have mine so tighten that I can ear them scratching on the guide rods and it basically doesn't return to original position on itself.
ANY rotating tool, particularly a drill bit, is almost guaranteed to "walk" slightly. The spinning tip hits the workpiece and, unless it's perfectly symmetrical (an impossibility), one side will dig in slightly more, and the bit will flex slightly. In wood or softer materials, or with fat bits, you don't notice this -- but with thin Dremel bits, going into metals, you've got the worst of all worlds -- a thin (flexible) bit, and a situation where 1-2mm is a full hole diameter or so! It'd be like drilling a finger-sized hole nearly 1/2"/1cm away from your mark!
SOLUTION: center-punch your mark! That is: make a dimple where you want your hole. Twist drill bits will self-center in that dimple, even if you're a little off. (In this case, the drill bit will flex the way you WANT it to!)
In wood/soft materials, just use an awl, nail, etc. In soft metals (brass, aluminum) a nail is fine (always wear eye protection when hitting metal into metal, though!). In iron/steel, use a prick-punch and then a center-punch - every hardware/home store carries them, and they're cheap.
A nice cheapo alternative is a masonry nail - they're made of good (very hard) steel. (You can even make decent tools from them! You have to heat them to cherry-red with a propane torch and let cool slowly - this 'converts' the steel to a more workable form. Grind it in a drill press with a file, or on a bench grinder, or even a belt/disk sander; hacksaw it, file it, even heat it and pound it flat on an anvil and sharpen it, etc. When you're done, heat it red-hot again and quench in oil -- it'll convert back to a very hard state. Do some Google research on "masonry nails" + "tempering" + "quenching" first - you'll find a lot!)
Centerpunching PCB material is, of course, a dumb idea. (I'm a metal guy, myself, and managed to skip ahead too quickly. (Wandering drill bits in the metals world IS almost always solved by centerpunching and having nice sharp drill bits.)
You're dead-on about the backlash issue as well as the side-loading bias and rotation/flexion. Dremels aren't exactly known for being precision Swiss tooling.
I would, however, suggest investing in very good, sharp drill bits. (I recently had a major problem with broken taps in 304 stainless. Went to this local machine shop with one of those brilliant, WWII old-school machinists -- he laughed at the taps I was using (Irwin, from the big Orange home shop). Sold me a German tap that cost nearly 3x as much -- but the thing cuts through stainless like a chainsaw through butter. Similarly, finally bought a fairly expensive saw blade for my table saw -- it's night-and-day, in terms of how easy it is to cut, and the quality of the finished surface.
I will NEVER try to save money on cutting tools again.)