Lubricant and coolant have two different purposes. Neither are particularly necessary for everyday drilling of mild steel as it can be machined "dry" with good results.
A couple lubricants can help with chip welding issues and provide superior surface finishes. For aluminum, the absolute best thing out there is WD-40 or bacon drippings. "Kool-Mist" misters and dish soap come at second place. Either one is cheap and prevents chips from welding to the drill lands, causing tearing. The Kool-Mist helps keep thermal expansion in check.
For steel, I like high-sulphur thread cutting oil, the same stuff used for threading pipe. A little bit in a squirt can goes a long way. I usually put a little down before a finish pass. I also use the same stuff for tapping, drilling, reaming, etc. Get the lightweight stuff.
Coolant is used mainly to keep the part and tool at a common temperature during high-speed machining. While it also provides anti-weld and other lubricating properties which are important to a good surface finish, keeping the part at a constant temperature is vitally important in CNC and heavy manual machining due to thermal expansion. Coolant also keeps the tooling cool, which prevents dimensional changes there, or the loss of temper in the case of HSS tooling. Again, for everyday drilling of mild steel and aluminum in a small drill press or by hand, coolant is not necessary.
In my manual machines, I avoid coolant if possible as my work is not production-oriented. Using coolant requires far more machine maintenance and tends to get rank after a couple of weeks. I usually machine dry until the final pass. Then, I'll use one of the methods outlined above. With carbide tooling and high speeds and feeds, the heat should be carried away in the chip, keeping the workpiece cool.
