Since you have to turn a square blank round at some point, I pre-round all of my blanks between centers, and drill using a collet chuck on the lathe. In fact I pre-round them in batches, usually immediately after obtaining them. If you have made any kitless pens you will know the absolute importance of "perfect" drilling. I now apply that experience to all blank drilling regardless of the use of the drilled blank. I never drill straight through to avoid the possibility of blowout on exit. I drill from one end to just past half way, and then from the other end using a smaller bit than the final size. After this, I drill all of the way through using gradually increasing bit sizes. Of course, this is more effort and time, but I have never had a drilling failure following this routine.