[javadog]

First you need a good drill bit (technically it's a drill, not a bit, but we're going to go with the terminology most people use.) You say you bought at cobalt drill bit, but given where you bought it, I am suspicious that it's actually what it is supposed to be. A good quality cobalt drill bit will drill through pretty much anything. Then, you need to use the right drill speed. There are charts that you can use to look up the correct speed for a given drill diameter and material. There are also formulas were you can calculate it; bottom line, for small drills most people use too slow a speed. The third thing you need is something to keep the drill cool; most people use some sort of oil that they consider a lubricant. In reality you're just keeping the temperature of the drill down to a point where it is not damaged. You do you want a certain amount of pressure, to give you a certain feed rate, but don't assume that more pressure is always better. Too much, or too little, neither one is good. A drill press helps to keep the drill aligned but it is not 100% necessary. Lastly, if you are going to drill a large hole, drill a pilot hole first. Understand that there are different drill profiles and some of them work much better if a pilot hole is drilled first.

I drill holes through bolts all of the time; hardened steel, stainless steel and titanium. The biggest factor in my success is the quality of the drill bit.