I would recommend:
1. Using a cobalt drill , available from any machine shop supply house.
If you can get a 135 degree split point , all the better
2. Some coolant to keep the bit from getting too hot.
3. A die nut to chase the thread , if you're drillling on the threaded portion.
4. A drill press will enable you to make a much straighter hole with out the risk of bit breakage.
5. A needle file is a great idea to get a flat spot before you drill , if you're drilling the threaded portion . You can also use a Die Grinder with a carbide bur, it'd be a lot quicker , especially if you drilling a socket head capscrew , which is 180,00 psi tensile.
Hope this helps ...