It will depend on what you have and what accuracy but I regularly drill 2.5mm and 3mm dia short pins with 0.8mm holes to take a 1/32″ split pin.
Usually I will just grip the pin at one end of the vice as it invariably has a head on the end with the shank and the pin sitting a little above the top of the vice jaws. Put a 3mm spotting drill in the chuck and bring it down onto the work trapping a 6″ steel rule between. Adjust position of vice until the rule balances level while applying light pressure with the quill. remove rule and spot then drill your hole.
If a bit more accuracy than a thou or two is needed then use an edge finder to locate the vices fixed jaw and offset half your rod diameter from that eg 1/16″ which will put the drill over the ctr of the part.
Over 40 yers of making models and I don’t have a cross drilling jig but do seem to churn out completed models a lot faster than most here.