There are two safety features on your drill that protect you from being electrocuted.
The first is the insulation on the wires, which is obviously only partly working. The second is the earth connection, which I hope you've fixed.
If #1 fails completely, your leathery hand won't insulate you, it will just clamp you with all your strength to your drill press until your neighbors come to complain about the smell.
Those things you plug into power points to check the wiring aren't rcds, just socket testers.
An rcd runs the phase and neutral wire through a small coil. Normally the electricity runs both ways through the coil and the magnetic field is cancelled. If some or all of the electricity ends up going through you to earth, a current is generated in the coil just like your transformer/light bulb trick. The rcd detects this current and cuts the power so you don't fry.
I don't want to sound like a lecturing nanny, but rcds are so cheap and effective that nobody should be without them, especially working alone in a workshop. [/rant]