Masonry bits will work. They're probably your best bet for now. Solid carbide bits might be a little more accurate, but they're expensive and prone to shattering. The masonry bits are much more forgiving, just have to use lots of coolant so you don't melt the tip off.
Cobalt and high speed steel might make one or two holes in a saw blade, but aren't likely to do much more than that. Personally, I've never found cobalt bits to be worth the extra cost. High speed steel bits are cheap, and can be resharpened easily on a bench grinder.
Carbide bits actually have a carbide cutting edge. Its not a coating. Same idea as router bits, or machine tooling. Solid carbide bits are made for machine tool applications and will drill very well, but shatter easily. Masonry bits are steel shank with a carbide tip brazed on. They work just fine for pin holes and are a lot cheaper.
To be honest though, I recommend spending a couple bucks on a peice of O1 barstock that is annealed, rather than spending money on fancy drill bits. It will be much easier to work with and heat treating isn't that big a deal. A saw blade would still probably require heat treating to work as a knife blade, and you don't even know what steel you are using with it.
