John,
Making the gas jet is easy, getting the hole into it is the problem.
I have had this problem on the back burner (excuse the pun) for about a year now, I want to make some very small jets for mini bunsen burners to power flame lickers and stirling engines.
I need to drill holes between 0.004" to 0.006". I have the drills, what I don't have is the means to turn them fast enough to prevent breakage. From my initial calculations, for the smaller one, the drill bit needs to turn at 96K RPM to make it stable and rigid enough, if I am very careful in designing the drill feed, I could most probably get away with 75K RPM. I think your holes could be a lot larger, maybe 0.015" to 0.025". I don't know the exact size of the required jets, but in the UK they are numbered (metric I think) and I used to use from 4 to 8 depending on the size of the burner required. I would assume they are 0.1mm (0.004") for each step, so a number 5 would be 0.5mm (0.020").
I have all the bits to make a super high speed drill, using a very small pneumatic die grinder as the power source, having the time to make it at the moment is the problem.
I have made many ceramic burners for model boat boilers, but I have always purchased the jets for those, so if I can help on that score I will.
I do have some copyrighted info on using jets out of disposable gas lighters, but I think they would be too small and not robust enough for what you require. Another way is to use the ruby jewels they use in watches, but again, I don't think they would stand up to what your needs are.
Plus you also want to make them yourself, and I admire that. There is nothing like producing everything for a project.
Maybe this vid can show you the way to go for your project.
http://uk.youtube.com/watch?v=q6-4oyIoku4Speed is the secret for drilling really small holes.
John