In Helsinki I had access to a big lathe, but not to a milling machine. For me it was useful to make such a holder for combining the lathe with Dremel drill. It's not a very accurate system, but I was using it a lot.
The holder was made in Sep 2016. A brass plate (thick enough to fit in a lathe tool holder) was cut with a hand saw and a file. Then a threaded hole was done on the lathe.
At that moment I had seen only home-made versions of this tool in Internet. Now (2020) similar tool is available from Proxxon (part number 24098).
Another variant of attaching drill to a lathe can be found here https://www.youtube.com/watch?v=1GI4YqGtqTc
In 2022 I made a similar holder for my home lathe. It is not that important, because I have a milling machine with turning table, and the lathe does not have degree ruler on the chuck.