I just recently started with a new company and they also use a calibrated gage block set to calibrate calipers, mics, etc. internal. In the past, I outsourced all calibrations to a 3rd party. I agree with other comments that if you use gage block to calibrate tools, make sure to reference those gage blocks by ID # so you have traceability. In an issue is found with blocks, you can track which tools may also have been affected by the gage block.
On a separate note, do you use the calipers manufacturing specification tolerances to calibrate you tool? W have different brands so there could be different tolerances and I was not sure if there is a standard per NIST that is used. Any information is appreciative.