In reply to Milesy:
Use a centre punch to act as a centralising point for where your drilling, otherwise the drill bit will drift over the piece of steel
If you buy Tunston Carbide drill bits (they are gold in colour), they are harder than HSS (High Speed Steel) drill bits
I've used these kind of drill bits for drilling hardend and stainless steel
As previously advised use a drill on a slow speed and use a oil, or Tallow (lard) to act as a coolant
It maybe a good idea to step the size of the drill bit.
first of all 3mm, then 5mm, them 8mm upto the desired size