The big problem with most drill bits you buy at hardware stores is that while they are sharp, they had the edge in what amounts to the wrong place. The cutting geometry is wrong to do much more than make a dent in the metal before burning up: In other words, the sharp edge doesn't make correct contact with the metal being cut. Also, they are often unevenly ground which causes tolerance issues. Buy drills from industrial machinery supply houses and you get a better product.
As to cutting oils, a good and inexpensive general cutting lube is 50/50 lard oil and kerosene. It's an old time thing but I used it one afternoon then I ran out of commercial Boe-Lube (Used for drilling titanium) and was very pleased with the results. Don't drill dry, lube, and keep pressure on the cutting edge lest you burn it off.~Muir