Too fast on the rpm
NEVER use petroleum lubricating oil. It acts as a coolant at best on steel. Canola oil, or any vegetable oil is 100 times better, but Messy. WD-40 is Worthless for steel, but great for ALU.
Use water to keep thing cool. (100 times better than lubricating oils.) (soda water keeps things from rusting up)
Also, did you mention the size of the pilot hole?, It should be about the size of the web of the final drill.
When drilling steel, MAINTAIN THE CHIP! that is, keep the cutting lips cutting, don't RUB.
As others have mentioned, once the hole gets hot and blues, it's going to take a good High Speed Steel (HSS) or better to penetrate the hard parts. Or a few trips to the grinder to re-point the drill. If the drill bit gets burned, it's a thankless job to re-point. You are best off just to cut off the business end and grind a new point. An acquired art. DON'T Burn the lips when sharpening!
It's all so hard, but as your post testifies, we git it done! I've got hundreds of twist drills with spoiled cutting lips or broken corners*, I'll get to them "someday" (*from my aviation days)