Some of the most convenient tooling I've found is called Laip quick change. Information can be found a
www.laip.es/en. I have a source for this in Canada called Kar industrial, but they don't seem to have a website that is working.
This tooling consists of a master holder that fits into a Morse taper socket and then you buy an additional series of adapters that fit into this master holder. They are retained by a sleeve and ball arrangement. This is very quick to change tools, and if used on a rotating spindle (your drill press) you do not have to stop to change tools. It works fine on a stationary spindle, too.
Change tools in 1 second! Saves a lot of banging the tools out by cranking the tailstock in and out. However, you do have the added expense of the addtional adapters. Generally speaking though, this line of tooling is some of the most inexpensive I've seen, and is highly accurate and reliable. It is not suitable for milling type work, but is designed for drill thrust type work only.