Drilling Holes in Rod on my Lathe

you used too large of a pilot drill, so the second drill was only cutting on the very tips and couldn't center in the hole, so it bounced around creating an oversized hole. Another symptom of that approach is constantly knocking the cuttingn tips off your drills. For that size hole without an appropriate sized finishing reamer, drill the hole one size under the finish size in one go, use the drill that's the size you want and up the speed about 4x = poor mans reamer. But if you want on dimension holes, there's no way around it but to use a reamer or bore it if the hole is big enough.
 
Definitely sounds like the "O" drill is improperly ground, resulting in one flute removing more material than the other. You got better results when the drill was removing less material because the unequal grind exerts less influence. I will frequently "ream" a hole by drilling with the closest undersize then with the on-size drill.
 
I am experiencing something strange when I drill holes in Threaded Rod to make a Reloading Die (sizer)
using my 9" ENCO Bench Lathe.

I drilled a starter 'guide' hole thru a 1 inch long piece of threaded Rod with a 1/4 inch drill.
The hole measured 0.249", as expected, with my calipers. No problems.

I was going for a 0.318" hole.

So - I put an "O" drill in the chuck and drilled it out. Came out 0.326" - not 0.316" !!!!
...I enlarged the hole one letter drill at a time until I got to the
"O" drill... NOW the hole measures 0.318" - What I wanted to begin with !

Does anyone know why the first two holes would come out seven thousandths larger (or more)
than they should have ?
Two things worth checking: the workpiece is a threaded rod, is it held in a threaded
holder? Even just a nut with a kerf hacksawed through, held in a three-jaw chuck, will give
the lathe a firmer grip on that workpiece than you'd get from just hoping a jaw or collet
making crest-of-thread contact will be enough.

And, twist drills will, under torque, unwind slightly (and chatter, and... bend), so a drilling
speed kept relatively high, feeding slowly, with good lubrication, is worth considering.
The many-drills approach has the effect of lessening the torque (chip load...) during drilling, which
might be why it's more accurate.
 
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