Carbide is the best way to drill holes in hardened A-2, or D-2, or any of the air hardening steels. It is pretty tough to spot anneal them!
As has been stated no coolant is the best way to go. You can use coolant, but it must be a constant stream. Don't get it hot and add coolant as you will shatter the bit/end mill.
A drill press is a must with carbid. It is a brittle material and they shatter easily if miss used. There is a learning curve, but you can learn from our mistakes. This is good as a good bit is expensive!!
Be careful breaking through, light feed is needed.
One thing I have heard, but not tried is a masonary bit at high speed. Masonary bits are much cheaper and more readily available. It won't be a perfect hole, but you could drill it oversize and then peen a piece of brass in the hole and then drill your hole exactly where you want it.
Tom