When making a custom screw, you can easily add a square or hex hole in a mill by rotary broaching. Although this is usually done in the lathe, it can be done on a mill to. One piece must be turning; either the tool, or the part. I've seen alot of small custom parts on this forum and thought this would be interesting. Here's our video that shows how to do it:
I'm sure you could use it in a drill press. I guess it would depend on how much material you need to remove. The Polygon broach holder in the video is $700 and then the broaches are about $50. There is a rental program on the holders to just try it out. Sometimes you can find used holders on ebay too.