Take a slice of metal of the same diameter as the work and center-drill it in the lathe. This can be put on top of the work in a machine vice and will act as a guide. This will also work for square stock. 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