What type of drill bits do you all use?

In a pinch masonry bits work well too. You'll just have to sharpen the tip on your belt grinder. Be patient, they are a tungsten carbide tip.
 
How far is your drill sticking out? You may be getting deflection in those small dia. bits. Try to chuck the 1/8" drill with only 3/4" sticking out. Also make sure your work piece is clamped down tight to the table and the table is also not moving.
You dont need fancy drills for annealed steel.
 
Hello...
The BEST drill bits I've ever used are the Walther Brand. I couldn't find them until I saw them at a nut & bolt store.
There may be better, but these were affordable. I had used them at a friends place, but he couldn't remember where he got them. They made our work that evening a breeze, compared to what I thought would be a horror show.
So when I saw them I said I'll take a set. The guys says "they're expensive!" How much? Thinking $200, or $250 bucks.
He says $65.00 What, I'll take two at that price!
The make work so much easier!
The are split edge, so no centre punch (usually, tho I still do) they have Hex shanks & stepped so you can use the 1/2 in a 3/8 bit. I'm not sure what steel, at only $65 it's probably HSS? Oh Yeah, that's Canadian price ...
Probably 30% cheaper down South.
Walther.
I hope they make some bodies job go easier...
Good luck everyone with your jobs & hobbies!
 
Any brand new drill bit for steel will do.
The secrets, if you are having troubles:
- medium speed: the speed that lets you the time to adjust the pressure in order to produce long curls.
- pressure: as said the one that produces sharp, long curls. Have trust and crank that sucker down!!! No "rubbing" allowed!! Lubrication requires higher pressure, but it is well worth, so use cutting oil.
- RIGIDITY: ensure by all means possible that the table is rock solid (i have an oil jack under my table to give it extra support), square to the spindle and that the piece is locked down solid.
- Center punch + be sure the surface you are drilling is square to the spindle
- if necessary pre drill a pilot hole the size of the web of your final size drill.
- in sensitive applications drill undersized and ream to size.
 
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