At about 40 - 80 cents per bit it's just not worth sharpening them as far as I am concerned. I view drill bits like razor blades - once upon a time we kept one forever and stropped it to a fine edge whenever it got dull. Now, we chuck them in the trash and load another when they get dull.
Lee, although the small ones are cheap, a larger one will set you back. I can't tell you how many times in the middle of a job I had to re-sharpen bits. I have only one complete index and a broken or dull bit can stop a job in it's tracks. if you learn how to do it, it is a worth while skill. I also have to say not all bits are sharpened properly when new. I fine tune mine til they yield 2 equal waste spirals.