With some years of pen turning under my belt, I have found great value in using HIGH QUALITY drill bits for pen making. This resulted in my having nearly all the typical "kit" size bits being of nice quality. (Nice quality= straight shank, tough and strong metals, truly sharp right out of the box and staying sharp a long time, non-clogging surface treatment of the flutes.) I recently bought A full set ...fraction,number,letter bits...and am very happy to have traded a significant amount of my hard earned money for this set. I bought the Norseman Super Premium brand, which can also be found online in individual sizes. There are a number of other quality brands, of course. These far out-shine anything to be found at Lowes, HD, etc.
Try it...you will like it!! I doubt that YMMV in this case.