If you need to drill several holes to exactly the same depth, these are pretty commonly used tools in the shops, you can also buy steel ones from online/shop.

Heres a link from McMaster Carr

https://www.mcmaster.com/drill-bit-stop-collars

Step 1: Model on Autodesk Fusion 360

I made the model on autodesk fusion 360. The model is fairly simple, I made the hole for the set screw a bit smaller from the measurement from between two sides of the threads

Step 2: Slicer

Use any slicer that works for your printer

in my case, I'm using a ultimaker printer, so I use cura to prepare the print file

Step 3: Set Screws

I got my set screws from a assorted set from amazon, you can also get it from McMaster Carr.

The set screws from the set just say 1/8 dia, I assume its either 5-40 or 5-44.

The set screws should thread in with a bit of resistance when you first drive it in with a allen wrench.

Step 4: Put It on the Drill Bit!

Slide it through the drill bit. If it is too tight, i suggest loosen the set screw, but it on a vice grip and run the drill bit in a drill until it slide easy