We've all tried to do it - drill a hole down the middle of a bolt or rod. Making steam engines, nozzles, RepRap parts, air gun barrels, whatever it is physics conspires against us, and the hole never goes straight. But it can be done in a hobbyist drill press - the type that holds a power drill - by making physics work for us.
First off, the drill press itself must be reasonably solid. So, no pressed metal, no tubing, no plastic clamps. Get a good, solid cast-iron cheap one with a solid post. They churn them out in China and I paid NZ$30 for mine. You will need a drill vise that fits the drill press. Pick one with a small notch in the middle of the jaws.
Next, the power drill. You'll need one with variable speed. Make sure hammer drill options are turned OFF or you will smash things to bits. Being in "forward" helps too. Finally, make sure your drill bit is sharp. Sharpening by hand is really quite easy and a badly hand-sharpened bit is more use than an old, dull bit anyway.
Put the drill bit hand-tight in the chuck the wrong way round. Lower the press so that the bit can be clamped in the vise. Tighten the vise and bolt it firmly to the drill press base. Tighten the clamp that holds the press mechanism to the post. Now loosen the chuck and slowly raise the drill. Do not let it fly up or it'll whack itself out of alignment.
Place the bit of rod or bolt that you want to drill into in the drill chuck. Tighten it up and make sure it and the bit are still central. Using high speed and very little pressure, lower the drill onto the bit. This will cause a little vibration initially, but soon small turnings will fall and the drill bit will automatically "hunt the centre." Slow the drill right down and gradually increase the pressure.
You want to see gleaming, long streams of swarf coming out, not many little fragments. If swarf stops coming out or you see smoke, stop and clear the bit with something pointy. Fingers are a poor choice as the bit will likely be damn hot and the swarf is really sharp to boot.
For deep through holes, stop half way (mark the bit with a pen), reverse the part in the chuck, and start again. There will be a little jamming as the two holes meet - go through it and the result is a beautifully central hole!
I mostly do this with brass, but if you do it with steel you'll need coolant/lubricant. It comes in cans at the DIY store. So there you go. Neat, central holes.