Drilling and WD40 vs. Cutting fluid

Your drill press, the speed it rotates, and how well it facilitates a steady feed, are more important than any cutting fluid. WD-40 and water work equally well to keep the tip of the drill bit from losing it's temper by keeping it cool (assuming your bit isnt going too fast anyways and just burning itself up)

If you have the space for, and can find one, old camelback drill presses with both a lever arm and a feed wheel are ideal for drilling metal. Here's a really bad video of what i'm talking about, but punching a 3/8" hole in a half inch steel plate (with really crappy harbor freight drill bits too mind you) is a piece of cake, no pilot holes, no coolant or lubricant, just keeping a steady feed.

I was under the presumption that oils that were higher in sulfur content were better for drilling and tapping???

There are tons of home brewed solutions out there as well... The cheapest one that many swear by is dawn soap and water... In order to extend my cutting oil I just mixed it with that dawn soap and water recipe.,.. cost me a walk inside the house.... For what little I do it works like a champ just don't go at it like you're punching through it and it's all good...