I have what may seem like a stupid question, but here it goes-
I recently purchased a set of drill bits for a craftsman drill I have- It came with the thing you stick in the drill, and then the things that look like screw driver heads stick into that- they are magnetic, apparently, and stay in fine- But I'm having an issue with the ones that you use to drill holes- they keep falling out and I don't know what I'm doing wrong-
If you can't already tell, I have no idea what I'm talking about, but I need to know how to keep them from falling out of the drill- I keep having to basically unscrew the bit out of the wall every time I drill a hole-
Help!

I am familiar with the bits you are talking about but I do not have a set. I would go to
Sears and ask them what the solution is.

I have a similar set. The screw bits and sockets bits are all steel but the drill bits are aluminum at the hex part. If that's what you have too then there isn't much you can do except just what you've been doing.