You don't need a drill press. If you can reload for rifle, you can definitely drill and tap a hole in a piece of brass.
A hand drill, the drill bit and tap mentioned above (right next to the taps at the hardware store they will have a little clamp to hold the tap while you put the threads in by hand), and a few fired cases is all you will need.
Drill a hole in the bottom of the case, use the tap to thread it, and you should be good to go. You might need to put a little crimp in the fired case mouth to give a little tension to hold the bullet. You should also make sure the the fired cases aren't too big to go back in the chamber before you drill them.