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Any stores that sell them for cheap?

Also, which sizes do you recommend?

You can buy complete sets of bits ranging from 0.25mm to 1.5mm in ironmonger or DIY stores, also from online suppliers. Actually the 1mm bit in the standard kit is probably the most useful for figure modelling. I don't use most of the bits in my 0.25mm to 1.5mm set. They are quite prone to snapping.

2mm and larger bits are available for hand drills and can be useful for constructing terrain, putting magnets into models and so on. I usually put them in an electric screwdriver, as you don't need or want high speed to drill plastic.

Another useful tool is the "tapered reamer punch" which you can use to widen a hole you drilled with a small bit.

Hardware store. For really tiny drills you can get them online from various stores. The most useful drills to me are the ones that match the size of the wire I use for pinning and the ones that match my magnet sizes.

They're pretty cheap and the smaller ones break easily, so I usually buy a few, putting a small drill in a power drill will make drilling metals so much easier... but you'll snap them as well, lol.

HERE

I buy the Drill bit and matching wire sets linked above (link is to a UK supplier, but they are from P3 which I think is part of Privateer Press, so should be pretty easily available.

Anyway, for £3, you get 2 or 3 bits and plenty of wire to pin with. I used to use a 1.5mm bit and paperclips to pin with, but always had to pack out the drill holes with green stuff - using wire and bits that are matched is MUCH nicer and quicker. I use the 0.85mm bit for most of my metal figures, but I also have a 0.5mm bit, but that does feel a lot more flimsy and I'll only use it on very fragile bits tbh.

I buy my 1mm bits from ebay, packs of 10 for a couple of quid.