Drilling in metal
The best way to drill in iron, steel, copper, brass or aluminium is to use a metal drill bit. It usually consists of HSS (High Speed Steel) and is conical at the front.
Drilling paste or cutting oil helps prevent the drill bit tip from burning out (the blue discolouration can result from drilling at too high a speed or with too much pressure). Another option is to regularly remove the drill bit from the borehole and let it cool down a bit.