ATF works fine as a lubricant, we use it our machine shop on the manual equipment. You are correct on going slow, especially if you are using a drill press. Too high of an RPM will either dull the bit or work harden the material, none of which are good. Cobalt or carbide drill bits are best, but high speed steel will work as well. I strongly suggest you buy from an industrial supply house and get good quality bits made for drilling steel. Believe it or not, there are hundreds of combinations of geometries, materials, coatings, etc, so it really helps to have a bit designed for your intended purpose. (go to MSC and look at their drill selection. It will confuse you in no time
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A call to a knowledgeable salesperson at a supply house is a good way to ensure you will get something that works.
Last thing: wear safety glasses, and make sure the workpiece is securely clamped.
edit: I type r e a l l y slow, apparently!
edit 2: High Speed refers to high speed steel, a type of material, not the speed at which it cuts.