I learned the hard way that cobalt-enriched HSS ain't the way to drill hardox. The cutting edge chips. TiN coated stuff ain't up to snuff either.

Plain HSS, loads of cutting oil and the slowest speed possible, easy does it. If I have the option, I drill it with my mill, 60 rpm is plenty slow.
Otherwise, heating the drilling spot cherry red, and drill it when cooled seems to help, sometimes. It ruins the strenght localy tough.

Oh, and a Drilldoctor is convenient to resharpen the drillbits.