Mark your location with a center punch first. Drill a pilot hole with a sharp smaller bit. Drill again with a size about 1/2 way between your first bit and your final size. Finally drill with the size you want. Any regular old oil will work. I've even used cooking oil to drill steel before.
This. Slowly work your way up to your desired hole size. If I'm going to a half inch hole, I'll often go 1/8, 1/4, 1/2