Are there some special technics that need to be observed when using really small diameter drills? These drills are very fragile, and some act like they don't cut that well.

I do realize that its likely they should be used with a pin-vise (hand tool),... but that is extremely slow when trying to drill thru thicker stock.  Is there a method/tool that would allow for power drilling? The dremel tools appear to operate at too high of a speed. I had thought that drilling brass might be easier?