Bill -
I do a fair amount of engraving, mostly on guns, but a few knives as well, and have come to the conclusion that, since gravers last such a long time, it's false economy to bother with substitutes for the real thing.
So, just what is the real thing?
I like MoMax blanks, which are a cobalt alloy high speed steel. They stay sharp longer and cut cleaner than anything else I've found. They are 3/32" square and 4" long. They are also pretty pricey at $16 plus apiece. One blank will last through 4 gun jobs if you're cutting steel. That makes the price $4 per gun. If you're cutting brass, they'll last even longer.
My second choice is cobalt lathe tools. They are 1/8" square, but only 2 1/2" long. The good news is they only cost 3 or 4 dollars - $1 per gun. For that price, I can afford to take the time to solder an extension of 1/8" key stock to the tool, making it 4" long. I use high temp silver solder, which is mostly brass. It's a little extra work, but 1/4 the price of the Momax. I can't tell the difference in the way one tool cuts compared to the other.
I turn my tool handles on a lathe, but you can also buy small file handles which work just as well. A word of caution here - don't get the handles too small. Select them to fit your hand. Drill a pilot hole to drive the tool in, and bury about an inch or so in the handle.
I also keep a couple of handles with brass brazing rods fitted in them, extending an inch or 1 1/2" from the handles. The ends of the brass rods have been drilled so that I can drive the 3/32" tools into the brass extension a quarter inch or so when they become too short to use in the wood handle. This allows me to use up all of the tool, except for, perhaps, the last 1/2" or so.
Bill