I had the same problem when I started out. Someone sent me an e-mail and helped me, so I'll pass this along.
First off, go buy the cheapest set of drill bits you can find. Get the 1/16 thru 1/2 set. Put a dab of paint on something, I use storage box dividers, since I have a million of them, Dip your drill bit, ( NOT THE SHARP END) and it's a perfect circle every time. I bought me some 1/2 wooden dowels and put the sizes I use in them. It gives you a little handle. Cut the dowel about 3 inches long, drill a small hole in the center, put whatever size drill you want for your eyes, dab some devcon on the small hole, drill you drill bit about 1 inch into the dowel and leave it. Remove the drill bit and dowel from your drill then do the next size.
Hope this helps you. I got this idea from this board. There's pictures on here somewhere. Check them out.
T-Ball