Yes, a #43 will give about 75% thread for a #4-40 screw and a #29 is correct for an #8-32 screw. However, the original poster was contemplating using a 3mm drill (0.118 inch) which is about right for a clearance hole but is far too large for a tap drill since the OD of a #4 screw is only 0.114. In an effort to answer the original query the drills that I mentioned were for close and sloppy clearance rather than tapping. I apologize for the confusion!
I'm about 60 miles east of Toronto. Where in Canada are you?