Wow, there is some bad advice in this thread.
OK, I'm a welder, I work in a fab shop making frac trucks for the oilpatch here in alberta. I regularly have to drill though the frames on kenworth semis. Thats about an inch of QT100 hardened steel, drilling it by hand really sucks.
What I have learned;
1. ALWAYS centre punch and drill a pilot. I usually go somewhere around 3/16"-1/4"
2. Go straight to your full hole size. If you try to "step up" one drill size at a time you will chip the edges of your drill bits, and you will jam up alot. Drill bits are designed to create a hole, not ream it out larger (thats what reamers are for!!)
3. Use the right drill for the job. A high RPM 3/8" drill will work great for the pilot hole, but chuck up a 1/2" bit and you'll probably just jam up or burn out the bit. Big bits work better turning slow. Use a proper 1/2" drill around 500 RPM for drill bits larger than 3/8". And when you're drilling that big hole, PUSH! Get some weight behind that drill!
4. Use a proper lubricant! Cutting oil of some sort is a must for drilling steel!!! There's all sorts of good cutting oil available for cutting/drilling/tapping steel.
5. Learn to sharpen your drill bits. You NEED a sharp bit to drill a good hole or you're just wasting your time. Get a bench grinder and practice sharpening. One of the most valuable skills you'll ever learn.
I often have to drill 20-30 holes(at 11/16") through the frame in a day, I've made all the mistakes that there are to make so please learn from them!