I’d step up to 2.6mm drill bit for the pilot hole instead of the specified 2.5mm hole for a m3x0.5 thread, these grub screws are doing SFA so don’t need a 2.5mm pilot hole for a tight fit. Snapping off a m3 tap would suck badly. What caliper is going to be sacrificed? This monkey business is on my to do list, fine adjustment sucks balls of Guide calipers.
As DC pointed out, drill and tap both sides
2.6mm bits here
Durable with HSS material. Twist drill bit. 1 Twist Drill Bit. 1.3mm 38mm. 1.2mm 37mm. 1.1mm 35mm. 3.2mm 65mm. 3.0mm 61mm.
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