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Small holes are drilled in diamond anvil cell gaskets to contain and pressurize samples. As high‐pressure technology pushes the multimegabar regime, smaller‐tipped diamond anvils are being increasingly utilized. Consequently, well‐centered holes with diameters smaller than 100 μm need to be routinely produced in these gaskets made of exceedingly hard metals. We describe the construction of an inexpensive electric discharge machine that can drill metals with holes as small as 25 μm in diameter. This method of drilling is easy to use, far less expensive than other commonly used techniques, and has the advantage of being effective on extremely difficult to machine metals such as rhenium.