There is no drilling required for this fastener. However, if it has a 1/4" shank, you could use a 1/8" drill bit if you really wanted to. So, to directly answer your question, there would not be a drill bit in a box of these. The reference to a bit is for the nut driver bit needed to sink the fastener. But you would only get that if you purchased the box rather than the individual fasteners. If you only need a couple fasteners, you could get a nut driver bit set for less than $10 if you don't care about the brand. Here is an example: https://www.homedepot.com/p/DEWALT-Nut-Driver-Set-4-Pieces-DW2229-Z/202290133