If you're only drilling a few holes through steel, you can use a regular high-speed steel bit. If you're drilling a lot of holes, or through hardened steel, then a cobalt steel bit or black oxide bit is a better choice.  Most drill bits are sold in a set with multiple sizes. If your drill bit is dull, it's not difficult to sharpen the drill bit yourself. Place the drill bit in your drill and tighten it so it’s held firmly in your drill. The smaller drill bit puts less pressure on the metal and allows you to drill larger holes easier later on. For example, if you want the hole to be 1⁄2 inch (1.3 cm) at the end, start by drilling a hole that’s 1⁄4 inch (0.64 cm). Drill presses are heavy duty machines that make sure your drill bit goes straight through the metal with the most accuracy. See if there is a workshop around you where you can use their drill press or purchase one for yourself.  There are 2 different models of drill press that you can purchase. Choose a bench drill press for a compact option that will fit right on your workbench. Pick a floor model drill press if you plan on frequently working with larger pieces of steel. If you plan on offering metal fabrication services to others, consider getting a drill press for the most accuracy. WD40 is for getting water out of rusted bolts. Place the lubricant on the end of the drill bit and on the sheet of steel you plan to drill. This helps protect the drill bit and the metal to make a smooth cut.  Spray the steel periodically while you’re drilling to keep it lubricated and reduce friction. Look for a 3-in-1 oil with a telescoping spout so you can lubricate the drill bit as it’s running.
Use a sharp bit. Use a drill bit half the diameter as the size you want to start. Work with a drill press for larger pieces of steel. Use 30 weight oil and water in a spray bottle or a lubricant oil on the drill bit.