I use the 3/8" primarily, but I bought the set since the smaller ones are commonly paired with largers for G&G frames (see my John Hall mirrors).

For depth, I usually go no more that 1/4", 1/8" for smaller items. Deeper means a bit more hole to ensure they go in without tilting. 
The depth control comes from the pilot drill hole more or less, but I'll usually just add a dot of epoxy and use an old credit card with the proper hole to slip over the plug, then press flat with a scrap of wood. The cards leave a consistent reveal. One of the sizes, can't remember which, has a common size hole through the center and for those I'll use a Frostner bit for the initial locating hole to get the flat bottom. For the alignment I'll then use the same size drill bit, shank down to align the punch/chisel with the hole as mentioned before.
I haven't bought a sharpening stone, but could use one about now. I prepare my stock to 1/64" oversize for a good compression fit with the sides.