As Dan mentioned and maybe others, for drilling the tip is oil, oil, oil, oil, oil. You can do a LOT of holes with one drill bit (if it's a good one) if you use enough oil. Dip the bit in engine oil once for every hole, or once per stop, meaning that if you stop drilling, dip again and continue.

Chances you will snap off a bit are minimal. It's the first time I was drilling in such tubing and I never broke a bit. After a while they wear off and tend to take more time to drill through, but the black oxide ones I got don't seem to snap. And with oil, NEVER they seize, nor come close to. Never.

Also, do not use a cord drill, it seems to drill forever!!!! A few holes took me 7-8mins each of non-stop drilling!!! Use a cordless drill, takes 30-90sec per hole. 14.4v is not much, you'll run out of power quickly. The 18v are much better and if you got 2 batteries, while one charges, you can do holes with the other and yes, the charging battery will fully charge before you drain your other Li-Ion battery. Hitachi green drill is quite great (Wayne Presley was using one on his thread). Choose high speed, torque it to 24 and fully pull the trigger until the hole is through. Put enough pressure, not too much, but enough. Just before puncture, you will hear, feel and see the end coming, lift off the throttle a bit to ensure you don't hit something when it drills through. Oil, oil, oil, oil, oil... I use new 15w50 Motul 300v Competition (left overs!).