Make sure you are not using too high an rpm when you are drilling, the general rule of thumb is: Smaller the diameter of the drill, higher the rpm
Personally I normally use my drilling machine on its slowest or next to slowest speed unless drilling small diameter holes less than 1/4" diameter and have no need of coolant or cutting compounds unless doing high volume runs.
It also helps if the drill bit is sharp and of good quality, there are some really poor quality drill bits around that work on wood, but not on steel.
Using a drill made from the correct grade of material it is possible and practical to drill through files or springs in their working condition.
You used to be able to get drills to "drill square holes". (Handy if you are making socket sets) Not used one for a long time though.
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