I put the blank in my small vise, make sure it is perpendicular using a small machinist square, then clamp it up. I held the small vise by hand.
When drilling a blank, it somehow caught and threw the vise off the drill press, giving me a nick on the finger in the process.
I decided to make it safer by mounting the small vise on piece of particle board. The board is long enough to rest against the drill press column, so it can not spin. Four screws attach it to the board.
It works fine.