Wow. You have a real challenge on you hands. I have done small holes in plastic,but not that small. Keep in mind that you are attempting to drill with a piece of wire.
Delrin (acetal) was made to machine,it's a pretty hard plastic and should not try to melt on you.
If you have ER collets,use a .5mm and chuck up on the drill as far as possible. Rap the spindle up to 8000 and see if the drill spins straight. If not,you will have to find the "sweet" RPM. Turn your coolant pressure way down. The force of the water pressure will make the drill deflect and not spin true.
Try 8000 RPM,.003-.005 peck, 1.0-1.5 IPM feed to start. Adjust to get desired results. Good Luck!