To drill a small, jewelry-size hole in a stone is one of the most
difficult lapidary procedures.
Picture it this way. Each diamond particle in the drill bit acts as
a plough, scraping a furrow in the stone. Onto the the tip of a large
drill bit you can pack many, large size, diamond particles. With
each rotation they plough for a considerable distance. As the bit
gets smaller the number of diamond particles that can be put on
diminishes drastically. Plus they need to be smaller. They travel
less distance with each rotation. The smaller you get the closer you
approach the limiting condition of a single diamond particle spinning
on its axis doing nothing; the nearer you approach the center the
less material is removed. That is why diamond drill bits are usually
tubes. And again the smaller they get the more fragile they become,
the quicker they break and wear out.
For doing small holes the instrument of choice is the ultrasonic
drill, which is not rotary but percussive, shattering its way through
the stone like a miniature jackhammer. But these cost in the 2,000 $
range, so you need to drill a lot of holes to make one worthwhile.
Still, when you consider the cost of a drill press which you'll need
to hold tube drills, plus the cost of the bits which you'll need if
you're drilling in quantity, the differential diminishes notably.
That being said, for a hole or two a week the rotaries will work,
(always held in a drill press) although I'd be leery of anything
smaller than say 2mm. By about 3 or so mm they begin to work much
better, and at 1/4", no problem.
Alpha Supply has a selection, on page 207 of the catalogue. Caveat:
yes, I have a minor commercial (as well as a friendly) connection