Drilling into metal requires a few little working tricks.
First you need to punch a starting point if you don't want the drill to wander all over your work. On the right you will see the slightly pointed centre punch, made specifically for denting into metal. On the left is a "pin punch" made not for centering drills, but for pushing pins through holes.
If you are drilling a lot, or into thick material, you will need to use cutting oil to keep the drill tip cool.
The harder the material, the slower your drill should turn.