I've used a wooden dowel, some emery cloth, and a bit of oil. I split the dowel about 1" from the end, slipped a strip of emery cloth in the slot and wound it around the dowel enough for a snug fit in the cylinder/die. Chuck dowel in a drill (drill press will work, but I just used a hand drill), oil the emery, and start the drill. Keep the drill/dowel moving in and out with plenty of oil and check often; .002" should come out pretty quick...
Also be aware that some alloys will "spring back" a bit after sizing.
My Anchor is holding fast!