This is probabaly not interesting to most people but being a new person at this I am sharing what I did. It is over kill and most experiences machinist will probabaly get a chuckle out of it.
So today I drilled the holes as follows:
Set sleeve (side of shaft without the gear) in the vice with a v block.
Used a center finder on the shaft to zero out the DRO on one side.
Used Center finder on the other side of the shaft then used the 1/2 DRO function.
Moved to 0 on the y axis. verified it was Zero visually (point of a center drill was at highest spot).
First sleeve hole (it is only on one side of sleeve) to under center point with #21 bit in the chuck.
Loosened the vise to allow me to rotate sleeve until the bit would easily go thru sleeve to un drilled other side using quill
locked everything down and made sure the drill could move without binding, then moved drill out of the way (up).
Aligned the shaft (half with the gear) so that the keyway is located in the same orientation on the shaft as the sleeve.
I don't believe this is necessary at all since the keyway on the shaft is not used and the orientation does not look important.
Clamped the shaft to the sleeve (end to end) lightly to reduce any chance of shifting, and to make sure the shaft was completely seated.
Put a 3mm Cobalt Center drill in the chuck (the next size I have was 4.5mm and the hole needs to be 4mm in the end)
Verified it would be drilling in the middle of the existing hole. Crossed my fingers that I could drill the shaft steel.
Applied 2 drops of cutting fluid in the hole.
Lowered the head to just above the hole, then made contact using slight pressure with the quill, immediately saw chips with barely any pressure. Used the Z axis to control depth with slight pressure on the quill to reduce any potential bounce.
Once the hole was clearly started I switched out for the #21 carbide bit using the same Z axis for depth and pressure on the quill to reduce bounce.
As I got close to the full depth I slowed down and gently pushed through to the other side of the sleeve.
Verified that I could rotate the shaft 180 and still get the drill bit through (woot it is symmetric).
Inserted roll pin,
Repeated required steps for the perpendicular hole.
made roll pins as flush as I could and sanded the tiny burrs out of existence.
The next step in the build require me to disassemble the Z axis handle, glad I was able to do this on the mill before doing that (in the instuctions they tell you to disassemble the Z before this, and say to to this on a drill press) because my drill press is not nearly as nice or accurate as the mill.