You've gotten some good advice so far. Maybe I can add some more of the basics as you said you haven't drilled metal before.
The basic equipment you need is a set of drills (drill bits) and a drill motor (drill). Get a set of "high speed steel" (HSS) twist drills from 1/16" to 1/2" to start. You may already have a set for drilling wood BUT, if they aren't HSS they will be ruined PDQ. Next, a drill motor. VSR (variable speed reversing) is a good idea. A 1/2" chuck would be handy and of the Jacobs type that uses a key (instead of keyless).
If you go the step drill route fine. If not, drill a small hole first, like 1/8" and work your way up.
Within reason, the harder you lean on the drill motor the better it will cut ... along the lines of a drill press.
Note that the larger diameter the drill you use the slower you should be drilling. Also drill slowly on material harder than mild steel.
A little cutting oil may be in order from time to time.
Keep an eye on your drills. It ain't that hard to tear the corners off of them if you get cockeyed while drilling. And some steel is harder than others (FEL cutting edge for example) If you're not throwing a lot of chips or the the drill squeals or is just generally torquing you off, it's probably dull.
Beware of the steel bug. It is like the tractor bug. It WILL eat all of your money.
Cheers!