For those of you who could use a set of really small drill bits, you might consider this set that ranges from 0.3 to 1.2mm in diameter. The cost is just $3.99 at Amazon. The company selling these is based in Asia, so the shipping time is about three weeks.
Pros:
They come in a very nice plastic case and the bits themselves are cushioned.
They fit the 1/8-inch jaws of a standard Dremel tool.
Cons:
The size markings are etched into the shank, so are difficult to read until just the right angle of light hits it – a magnifying loupe is a plus. They thinner bits break very easily, so it’s best to use a sturdy drill press for these, rather than a Dremel tool.
design-4-emc.com 
Could you post the vendor name or product name to aid in searching for the drill set on Amazon?
Good question Craig. Several vendors sell them, but I ordered from: https://www.amazon.com/gp/product/B00IMXHXGG/ref=oh_aui_detailpage_o08_s00?ie=UTF8&psc=1