I’d agree with almost all the above – brass rod not steel; good quality bits and, yes, sadly price seems to be the best guide; stabby thing to make a guide hole (I use my old Helix school compasses – the bit for the pencil gives you something to push down on). However, I prefer to have the subject firmly clamped in a vice rather than held in the other hand – less chance of turning up in A&E with a drill bit sticking out of the side of my index finger 🙂
I’ve successfully drilled out the hands of 10mm figures (never again, life’s too short!) so 15mm should be doable with patience and a good eye (or an optivisor if the latter is in short supply).
It does depend on the metal used for the figures. High lead content may be bad for the health but it seriously reduces strain on the fingers!!
Growing old is mandatory, growing up is entirely optional!