Ian,

For what it's worth you can get some reasonable quality cobalt drills on ebay. I just bought a bunch of 10 6mm drills and used them until they got blunt, that said, dry theyll do about four holes. I don't do that many so i just buy a load and treat them as a bit disposable and they'll last me six months. You can get a set of ten for about ten pounds and it's cheaper than buying a full set of sizes you wont use.

I tend to go straight in with a 6mm and then open it up with a bigger drill if necessary. Never got the smaller drills to work either. Speed setting of 300rpm is good too.

One thing which really kills the drills is breaking through the other side of the hardox. Tried it with wood underneath but it may well be that clamping a bit of hardox underneath would make it smoother to break through as it'd just see a single piece.

Not the best engineering approach and not one for people who like to look after their tools etc etc. It does leave you with loads of 6mm drills which are perfectly good for using on mild steel and ali as well.