Well, couldn't wait until tomorrow to try it out. I just drilled a 1.5mm hole 12mm deep inside of a 2.5mm diameter 13mm deep hole. So total depth 25mm. It was an interesting experience. It works. When the drill packs up it wants to spin, so you let it. Turn off the lathe, back it out, and clean the chips and go again. It's not a quick experience, but it works! Most of the time, you can feel it get more difficult and you can back it out to clear the chips. At least with these tiny drill bits, the flutes seem to pack and then jam in the hole. You can feel that happening and clear the bit.
While I was doing this I wondered, umm, how am I going to measure my progress? At first I used a ruler. Then I set an adjustable parallel for the correct depth and used it as my reference. When it just slid in, I knew I was done.
Now if you are going to ask me how straight is it, I haven't the foggiest idea. I'm going to find out eventually because I have to cross drill the rod and hopefully intersect that hole. The rest of the story is in my other thread about making a high pressure air probe.