I know this is an old thread, and I don't post on here very much (still trying to catch up with all the folks who really know what they are doing). Backstory, I've been making knives for a long time. Didn't really understand the science behind it but managed some decent (usable) blades over the years. This past year I got more serious about it. Read a ton of info (a lot of it right here on these boards in threads like this). I'm not an expert, but I've learned enough to know that ill be learning forever, and it's been a fun (sometimes frustrating) ride. But overcoming the frustrations and seeing it to resolution is an integral part of the satisfaction one can have in this endeavor.
This has been my experience:
Soft steel-Annealed, normalized, most stock (not all) comes this way. I use cobalt bits. They last awhile and can be resharpened. I use cleveland twist jobber bits. Plenty of other great manufacturers, just happens to be what I use.
Heat treated steel - depending on hardness, carbide bits can work as others have described in numerous posts. Sometimes not. You need a drill press, you really do. I can drill reliably straight holes with a hand drill, but that isn't going to work here. If you can't afford one, hopefully you have a friend with one. Don't waste your time using a hand drill on heat treated steel, it's unsafe and impractical (ill spare the details), and you'll probably ruin a lot of bits.
Carbide bits - take your time, keep it cool, use good cutting fluid.
Cobalt bits - shouldn't work. If they do, hopefully it's because you clayed the area being drilled prior to HT.
if cobalt goes through hardened steel (even big choppers tempered fairly soft). There is a chink in your HT process.
Spot Annealing - use a pretty big nail, or an old, dull bit. I always just ended up frustrated with this process because I'd melt a bit or nail long before the steel being drilled got hot. I even tried cooling the bit (bit only ) at intervals. I just never had much luck with predictable results.
Masonry bits (carbide tipped steel bits) - this is the method I've had the best, repeatable, results with. But, my process is different than anything I've ever read or heard anyone use. I run it Hot! No cutting fluid. 1700 rpm on a drill press, constant steady pressure, and I can get through some very hard steel with relative ease.
Relative is the key term. You're gonna spend 6-10 minutes on each hole. It's best to let your drill motor cool a bit between holes. Remember (as previously stated) that masonry bits actually drill a bit wider than advertised. Cutting fluid and taking it slow not only takes a really long time, but it wasn't cutting through really hard steel (for me). I find that a masonry bit will spot anneal, then cut, alternating through the cut while you hold pressure. I found with carbide bits (full carbide) I'd get maybe a dozen holes out of a bit. Masonry bits would yield about 10 when used with cutting fluid and taking it slow. Ironically, a masonry bit at 1700 rpm, and not using cutting fluid, thereby keeping it hot would yield ~10 holes as well.
Remember to keep the blade cool during the process. I lay a wet handtowel over it, then clamp the blade and towel to the plate (minimizing the chance of the towel wrapping up in the bit or chuck).
Cobalt won't work...or may do a hole or two, either way you'll be disappointed.