I've gone this route many times for light machine work and maintenance type work. It is probably not the ideal production solution but is a save your bacon solution. I've done this with Loctite for screw locking but you would probably be better off with bearing retainer. Also you can get high temp Loctite.Swifty - I'm going to experiment with some Loctite stud and bearing lock. That might hold up to the heat of drilling.
The problem with smaller drills is the limited glueing surface. In the end Silver soldering is probably your best solution if you expect to do more than a modest amount of drilling. A shrink fit is possible but I see it as more difficult to do in the smaller sizes.
Goldstar31 - I'd love to be able to slver solder the drillbit to the shank without warping it, or losing the hardness of the cutting edge, but I'm not very good with a torch. Maybe it is my silver solder and flux. Can you suggest something that works well for this application, and where I can buy it?
Find a local welding supply shop. Usually with a quick description of your task they can fix you up. Given that are you getting enough heat?
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