Don't know if you've solved your problem yet, but I have lots of these if you want some...
Your post is timely. I just wrapped it up today.
I bought a 2-56 tap, threaded SS Rods and 2 ball nuts from MC. My thought was to drill the rod for the pin and tap the existing nut for the thread after drilling it out a bit (recessing it) so the re-thread has less length to accommodate the difference.
I flattened the end of the rod to make it easier to drill (may have made it worse), center punched it, and then tried to drill it. NFW.
Yes, I have a cheapo sensitive drill chuck and yes I was using my mill and yes I had the part clamped and supported below the drill.
Then I happened to be talking to
@Dabbler on the phone about another matter. When we were done I asked about the caliper. He said that his experience with small stainless parts is that they work harden just looking at them. He suggested annealing and then after talking to John Neilson added the need for stainless cutting oil. He also wished me luck with a very sarcastic tone.
He was right to be sarcastic. It didn't work. Could well be my inability to anneal such a small part properly. Or maybe it's instant rehardening on drill contact.
I also tried a tiny diamond dental burr. At first I didn't think it was working. Then my good eye (good compared to my left eye, but poor by any other standards) spotted what looked like dust. So I kept at it for another 6 days..... (actually more like 6 minutes) Success!
Just have to cut off the excess, decide what to do with the ball screw, install the ball stop and polish up the parts.