I always get a chuckle when drill bits come up in conversation.
I can't tell you how many times I see somebody trying to use all their arm strength to wear a hole through something with a dull drill. Why is it dull? Because they don't use coolant. They cut way too fast. They . . . Oh heck I could go on all night.
Drilling a hole takes a sharp drill. Learn how to sharpen a drill PROPERLY and you will be buying far fewer drills.
You have to learn from someone that knows how that can show you. You can also look at YouTube videos and search the web for instructions. But take the time to learn.
If the drill gets hot the strength of the material goes to hell and the drill gets dull. Coolant/lubricant and lots of it is the answer. You can't use too much.
Some things can't be drilled. At least not by you. Ever try drilling a case hardened shaft? If the item you are drilling is harder than your drill, it ain't gonna happen. And not too many have diamond drills.
Take your time. Every material has an optimum chip load.
Chip load = Feed rate / (RPM * # of Cutting Edges)
Feed rate = RPM * Cutting Edges * Chip load
RPM = Feed rate / (# of cutting edges * Chip load)
A good place to start for chip load and speeds/feeds. This is for milling, but the principle is the same.
http://www.niagaracutter.com/techinfo/millhandbook/speedfeed/index.html