sounds like you need more lube.
Describe your process and we can better help you out. what bits are you using? drill press or free-hand? Are you trying to do the holes all at once, or are you doing pilot holes? Are you drilling hardened steel, or before heat treat?
In general if you are not using any sort of cutting fluid like ezee-tap, get some and see how that goes. I'm not much of a machinist, so I don't know what are cheap alternatives, but if you do some searching on machining methods, you'll probably find some help there as well. From what I know though over-heating drill bits quickly destroys them, so getting things cooled down might be to your advantage.