Oh yes, they come in a whole range of sizes. You might be better off asking in a hardware shop, ideally a proper, old fashioned one. You can get better quality ones there, probably for less money than, for example, GW. The best I have is by Eclipse but they are costly. You can never have too many of the things.
Axminster do a useful set of drill bits going down to stupidity small, 0.4mm or some such.
I ended up buying a digital calipers to size drill bits, well that was excuse, really I just wanted one, and a set of plastic test tubes and holder to sort them into though that might be a bit over top it works well.