Drilling tailweight hole

[numbskull]

They are called step drills. If Mike doesn't have what you need you can get them at Mcmaster or Fuller Drill. Not cheap, if I recall correctly, but work great. Some guys grind their own

[Mr. Krinkle]

Forstner bit. I use the drill press and hold the plug in my hand. Haven't had a problem. If your drilling hardwoods then I would use the drill chuck on the lathe.

[Nebe]

I drill the tail weight hole first on the lathe, then drill for the through wire on the lathe as well... easy as pie.