One of the issues with drill bits is that their diameter is usually much smaller than that of a driving bit (such as a Phillips driving bit). This results in having to make big adjustments to the power drill chuck when switching from drilling pilot holes to driving in screws, which ends up taking a lot of time and can get frustrating. It is good practice to drill pilot holes before drilling in screws, as it reduces the likelihood of the wood splitting and also makes it easier to drill in the screw.
The solution to this issue is to use hex shank drill bits. These drill bits have shanks the same size as the driving bit, making the switch between the two much quicker. You can see the difference between a standard drill bit and a hex shank drill bit in the picture below.
You can find a set of drill hex bits on amazon here:
The following video compares standard drill bits to hex shank drill bits in more detail.