Yeah I'm not surprised your HSS drills bit the bullet with hardox. Buy a decent set of cobalt bits, I got the silverline set and i've been using them for a couple years with only a couple of sharpenings.

Also forget using WD40. You'll spend an absolute fortune on it and its not the best thing for removing heat. Buy a litre bottle of coolant from chronos,

http://www.chronos.ltd.uk/acatalog/Chro ... c_124.html

It's water soluable so you put a shot of it in a half litre of water and it mixes to give an oily water mix which is ideal for drilling, lathe work, milling etc etc. Again I bought a litre bottle around 3 years ago, even using it for hour after hour on my lathe and pillar drill, I've still only used 500ml. O and if you throw a tray under where you work, you can catch it and re-use it.