There is a term I've heard machinist use when drilling into hard materials. It's called "pecker drilling". The drill is inserted a small way into the material and then withdrawn. Then the drill goes a little deeper and then withdrawn, etc, until the desired depth is achieved. This process works best with a drill press.
The process allows the "chips" (drilled out material) to come out of the hole, allows the drill bit to cool off a little, and allows new cutting oil to coat the drill bit.
I use the "pecker drilling" technique to drill into steel and even into wood when I'm using a Forstner bit or a bigger brad point bit.