I also use the micro carbide drill bits with the 1/8"shank, beautiful little drills, extremely sharp, but can be fragile.
I also have a pin vice which will go down to zero, so it holds the 0.2mm drill bits quite well, don't know the name of it though, sorry. Another solution is to get a short length of brass tube with the correct size hole, insert your drill bit and use CA to hold it in place, this can then be placed in your pin vice giving you a larger holding area, increasing the size of the brass tube will give you even bigger size.
Des.