Drill speed is a factor. Rule of thumb is the smaller the bit the faster the drill speed. Be careful with heat. You can easily 'work harden' the metal you are drilling. Take your time and keep your tool cool. Any kind of lubricant that is designed for cutting is good, I like 'Cool Tool' brand. Not just oil, cutting oil. The amount of pressure you apply is also a factor. Some materials like a lot of pressure to get the cut started. I was drilling through a car frame and if I used a 2x4 to pry pressure on the back of my drill it went through like butter. Black and Decker has a good sharpener that keeps the angle just right. I believe it's in the $50 range.

The very best advice I can give is always start with a very small bit and work your way up to the size for the hole. I rarely start with anything bigger than 3/16 inch. For example; If I want a half inch hole I'll use 3/16 then 5/16 then 1/2.