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.
Originally Posted by Black Hills Tj
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
These guys got it.
Use the drill press and buy a HF drill press vice, they shouldn't set you back much and they are MUCH safer than having a piece of metal whipping into your fingers at 300 rpm.
WD40 or used motor oil or even water will work as lubricant, just about anything to soak up some of the heat and move the chips away, don't be shy about using it either, especially water as you'll need a lot.
For this I'd just buy a step bit as was mentioned earlier, they're great for jobs like this since you don't have to change drill bits to step your hole sizes up.
Sounds like the metal working shops in your area are a bunch of douche, most places in my city would see what you want to do, ask you to mark the holes then grab the chunk of metal and march into the back to zip a couple holes into it so you'll go away happy.