where can i find a cheap lock wire drill jig ??
something like

http://www.demon-tweeks.co.uk/products/ProductDetail.asp?cls=MSPORT&pcode=PEG3746
Rescued attachment PEG3744.jpg

Why does anyone need a jig to do this? Surely you would just hold the bolt head in the horizontal grooves in the drill vice and then drill the head like you would drill any thing else.

You've obviously not tried it - very small drills <1mm) do not just drill where you want them, particularly if you're trying to drill into a threaded bar, they need support & guidance - like the Tweeks jig

Dunno where you'd get one - sorry

Yep, with a small drill it is almost impossible as it will wander over the threads and snap.
I have got round this in the past by using a plain nut with the same size hole in it as a guide. Lock it in place with another nut and anway you go but this is of course not always possible if the bolt is in place.

Another time this one was up I suggested a DIY reinforced wooden jig, still untested i believe
LINK

Can't think why you'd drill a threaded section for lockwire, split-pin yes. Anyway, if you must, file a flat on the thread, centre pop it, and drill in a pillar drill if possible.

As for heads, I'd drill 1.4 - 1.6, as long as you realise where the strength is required in the head. Aircraft fasteners are generally drilled from one flat to the adjacent flat to avoid weakening. If you drill 0.5mm deep perpendicular to the flat and then come in at an angle - this works ok for small quantities.

Frost do this for £24 - depends on your definition of cheap