All drilling operations should start with a center drill; this gives an accurate and clean starting point, and reduces the chance of the drill bit "walking" off center.
Drilling
Before drilling round stock, hold a center in the chuck of your drill or mill and line it up with the center of a clamped vee block. From "Cross Drilling" by Stan Bray, "World of Model Engineering" No 3, 1989, http://www.model-engineer.co.uk/sites/7/documents/wome-3-pt3.pdf