I use Tap Magic EP Extra cutting fluid. It works with all metals, it's somewhat sticky and seems to hang around on the drill bit and in the hole a lot better, and it's a hell of a lot less messy than used oil. It doesn't sling all over the place.
http://www.tapmagic.com/TMepx.htm
I have an old green bean can with a magnet inside and a little brush next to the drill press. I squirt a little cutting fluid into the can and use the brush to keep the drill bit lubed. The magnet lets the can stick to whatever steel surface I put it on without getting knocked over.
There are specific cutting fluids for specific metals if you really want to get picky, and of course Tap Magic isn't the only brand out there. There's a foamy spray that really *****, since it totally obscures the work.
If the boss won't let you buy cutting fluid, then use whatever you can find. You really NEED lubrication when drilling metals, or you'll wear out your bits pretty quickly. Old-school lard (or bacon grease) does actually work quite well, but quickly turns rancid and stinky.