This step can just as easily be done on a lathe.

My jewelers mandrel had some 1/4-20 threads on one end and just an open hole in the center of the other. I saw that and thought that it would make a great way to hold a ring for sanding.

Screw in a short 1/4-20 bolt into one end. In the chuck of the drill press, place a 7/16" nut driver to hold the 1/4-20 bolt. To act as the "tailstock" secure a small bolt into some material that can be attached to the table of your drill press. My drill press wasn't tall enough to hold everything conventionally so I had to flip over my table.

Remember to place some lubricant on the end of the bolt attached to the table.