HSS drills will drill almost anything. When you get the harder stuff, cobalt will definitely help. Hardened steel will need carbide if you can't bring it back soft.
I run my drills at work constantly, I have some in my box that I have used for years. They need to be resharpened every now and then, but that is a skill that one needs to know. Much cheaper to sharpen drills than 'toss em and buy new. Eventually you will sharpen them back too far. The web size increases as you come down the length of the drill. You can always relieve the web, but it still is easier to push a thin web drill through. Pick yourself up a drill point guage and work on sharpening with a bench grinder. Not bragging by any means, but as a tool maker, I can get almost anything to cut. I have pieces of broken tools in my box that I have resharpened to make cut the way I want them to cut. You have to understand the geometry of the cutter/drill point to make it work in your favor. The most importnt thing to know about sharpening a drill is that it has to have the right relief and it has to be the same on both sides. If not, it will drag, and if not the same on both sides, one side will cut more than the other and the hole will be oversize. Tell-tale sign is only one chip spiraling up out of the hole instead of two..
I turn my 3/16 drills at about 1000rpm in almost any kind of tool steel...A2/D2/S7. Keep plenty of coolant on it, pull it out to clear the hole every now and then and use enough pressure that the drill cuts. Don't sit and spin like Boss says. As I work up through the sizes of drills and get bigger I slow down RPM. I would turn a 1/4 at about 650 or 700, a 5/16 at about 575, a 3/8 at about 500, and a 1/2 at about 400. Motor oil will work better than WD40 if you have some around. WD40 is too thin. The best thing to use is coolant though. It works great.