One tip I have that was not mentioned, if you are not familiar with drilling metal, and lets say you are starting with 1/8" pilot holes, get a few spare 1/8" drill bits. It sucks when you break your only 1/8" bit. I doubt you will break the bigger bits going into a pilot hole, but those 1/8" bits are easy to snap and could create an O.S. situation at 9:00pm when everyplace is closed.
Also, make sure your bits are sharp, and keep them sharp.
I agree about the parafin, but really anything will work. I like tap magik, and have some water based cutting fluid (causes rust problems on machining equipment though) that works ok for drilling. WD-40, or any spray lube will work, I have even used silicone mold releas (it was handy) and Pam before, however, Pam creates an, uh, aroma that seams to make me hungry
