After a few helpful comments I was pointed in the right direction for drilling a hole down the middle of my hobbed M4 insert. Unfortunately I didn’t have a drill vice, so I used my trusty Block’o’Wood and a fair amount of extra caution instead.
It really is amazing how well this technique works, the drill bit doesn’t have to be perfectly centered but because the work piece is spinning around a central axis its near impossible not to get the hole dead centre. I guess this is why a metal lathe has the drill bit set-up in the tail-stock.
Here is the hobbed insert with the central hole:
I am very pleased with the result, as it runs nice and true when rotated. All I have to do now is drill the M3 grub screw hole.