Hi, this is my fist time in this forum and I hope I am in the right one, anyway I need a good pen vise, maybe you guys can direct me to a site where I can get one?
I think everyone here will be able to give you good advice on what works for them. Ultimately, you will need to look at your work flow and make a decision on what you think will work best for you. For me, I don't like to drill on my lathe, but that may change once I re-engineer my tail-stock to have a longer throw.
What I use for now, and with great accuracy, is a 4" cross slide vice from HF. It cost me $30 and allows very small adjustments without having to clamp and unclamp a pen vise/wood vise from that table. It has room under the jaws for a 1/4 bit of waste wood to prevent blowout. They didn't have it listed on the website, but my local Habor Freight had several in stock. I wouldn't use if for metal milling, but it is great for wood!
No matter what you do, use bradpoint drill bits. You can get a full fractional set from Penn State cheap in both metric and standard. I went from marginally accurate drilling (from bit wander) to dead accurate with the bradpoints and my vise.
Just my .02,
-X