I posted the following comments recently on the forum. The MAFord drills have done many a hole in calipers for homemade DRO's. They work, no nonsense:
For drilling stainless or other hardish steel up to 65 Rc the drills at the link below work really well. I bought a 1/8" one and have used it to drill calipers for mounting (among other things). If the 1/8" hole size is used, a #4-40 UNC screw passes easily, and a 1/8" 'c' style roll pin fits with tension in the hole to locate the jaws to mounting brackets with zero backlash.
http://www.maford.com/products/index.aspx?series=200
Good luck, JD
PS you need PLENTY of drilling downforce to make these drills cut. Push them hard and they work great.