Just a few thoughts-
The cutting edge needs to be annealed to drill like normal steel. Can you do a quick heating of the area you want to drill in order to keep the heat from softening too large an area?
Also, my only attempt at using cobalt drills in hand held steel drilling resulted in the edges of the drill chipping. The cobalt drills are more brittle than regular high speed steel and probably need to be used in a drill press. Check your drill bit for sharpness.
I'm a firm believer in split point drills for hand held drilling. In a conventional drill, usually a 118 degree point, the two cutting edges do not go all the way to center. The web of the drill (end area between the flutes) does not actually cut but "wallows" a hole instead, under high pressure. That's why (I think) step drilling works well. Its easier to get high pressure at the web of the small pilot drill, then subsequent larger drills only have to remove material where they have a true cutting edge.
With a split point drill, usually a 135 degree point, the cutting edges extend virtually to center, eliminating that dead zone. Its remarkable how much faster they cut in hand held drilling of steel.
John