ERL (aquamist) sell nylon tubing which is what I use with mine, since it's an ERL kit anyway.
You can also get the nozzles from ERL, 0.3mm is what people tend to use on g40s.
Yeah screwing it into a hole drilled into a solid pipe is the best bet. If you use an ERL nozzle you need to get an m8x0.75mm thread tap which can be bought from ERL again or off ebay.