I've never used one, but I can see where they may be useful on something like a surface grinder or a mill, where you're only doing surface work. When I'm using my drill press, I'm usually interested in drilling clear through the chunk I'm butchering at the time. Would hate to drill a bunch of divots in the nice flat top of the magnetic vise. I think that a drill is much more likely to catch and exert more force on the vise, than a typical grinder or mill and you might end up with a spinning workpiece as the drill is breaking through the piece.

I have a vise something like this one on my drill press:

http://www.use-enco.com/CGI/INSRIT?PARTPG=INLMKD&PMPXNO=4839682&PMAKA=240-3003

A vise something like that one and a couple 1/4" thick parallels - one set an inch high and maybe another set that's 1 1/2"  high and you should be set to do some serious drilling with that nice new drill press.