Yes, I would drill 0.1mm undersize for the smaller sizes, but maybe 0.2mm under for the larger (say, >6mm). Partly that is to make sure that the drill does not cut oversize although with new, good quality, drills that shouldn't be a big problem. If I'm not sure about the accuracy of a drill (typically if I have reground it and the point might be very slightly off-centre) I drill a slightly smaller hole first and then use the "correct" drill. It's more likely to be the correct size that way. Then reamer if needed.

You can probably tell that I don't do this professionally - the professional buys decent quality tools because time is money