If you need to drill several holes to exactly the same depth, these are pretty commonly used tools in the shops, you can also buy steel ones from online/shop.
Heres a link from McMaster Carr
Step 1: Model on Autodesk Fusion 360
I made the model on autodesk fusion 360. The model is fairly simple, I made the hole for the set screw a bit smaller from the measurement from between two sides of the threads
Step 2: Slicer
Use any slicer that works for your printer
in my case, I'm using a ultimaker printer, so I use cura to prepare the print file
Step 3: Set Screws
I got my set screws from a assorted set from amazon, you can also get it from McMaster Carr.
The set screws from the set just say 1/8 dia, I assume its either 5-40 or 5-44.
The set screws should thread in with a bit of resistance when you first drive it in with a allen wrench.
Step 4: Put It on the Drill Bit!
Slide it through the drill bit. If it is too tight, i suggest loosen the set screw, but it on a vice grip and run the drill bit in a drill until it slide easy