If you shoot for more precision, however, you can use a drill gauge as a guide. This is a template with holes indicating which size bit will drill the matching hole circumference.
If you are drilling a pilot hole to install a screw, put the screw you will be using into the drill gauge hole and determine the size of its threads. Then, choose a drill bit one size smaller.
A drill gauge will also come in handy for a shank hole, in which you will be inserting an object like a dowel into a hole drilled to its size. Use the drill gauge in the same way as the pilot hole, but opt for the drill bit of the same size as the object.
If you're still not sure what size bit to use after using the drill gauge, opt for the smaller drill bit. you can always drill a bigger hole, but it's tough to undo a hole that's been drilled too large.
With some projects, like wood joinery, the drill hole depth is key. If your drilling depth must be precise, use a collar which fits around the shaft of your drill bit and stops the drill at a predetermined depth.