Go slow use any oil.
Use drills and center drills made from High Speed Steel (HSS)
Anything else is crap.
HSS cutters are intended to be used on Metals.
Pretty much all the crap in the BORG is not with the exception of a very few items.
Any decent industrial supply can sell you HSS twist drills center drills etc.
you can get 'em on line
Here's one reputable company
http://www.haydendrills.com/You want General purpose Jobber's length for most applications:
http://www.haydendrills.com/sub_categories.asp?catid=97However when you are trying to drill a hole in steel that is larger than oh say half inch you may need to use a step drill / reamer and a half inch drill with extra handles like those Milwaukee sells or preferably use a drill press and clamp or otherwise capture your work so it can't grab and spin out of control.