Hmm, ok, then finish is going to be quite important, obviously. A rather ghetto-rigged method that might be sucessful would be using a powdered abrasive and a consumable brass/steel tube as your drill. I've used that in glass a number of times, I'd think it would work on hardened steel as well. It will take time, and you have to have your knife very solidly mounted to your drill press. If it slides, it's not good.
Chuck the tube in the press, add a touch of water and the powdered abrasive on the side of the blade where the hole will be, set the drill for low RPM, and lower it into light contact. Periodically retract the tube and rub the slurry into the abraded channel, adding more abrasive from time to time. Note, LIGHT contact is the trick here, you want to rub the abrasive against the steel, not smash your tube. I'm SURE there's a better way, but that'd probably get you a nice-looking hole without the ~$80 investment for the RIGHT tool for a single hole.