They are the most expensive ones from Harbor Freight. I start real small like 3/16 then work my way up jumping 1 bit size at a time, that works for me most of the time.
http://www.harborfreight.com/115-piece-cobalt-drill-bit-set-47653.html
Yep, gotta work your way up. Can't typically go through as a single pass. I step it a little faster, start around 3/16, then jump to 5/16-3/8, then to 1/2.The 1/2 will walk around and generally lose the edge if you try making it in one pass. Even the 3/8 won't tend to do real well on a single run, the 3/16 pilot is important.
The titanium coated ones are a joke. Once you sharpen them, the coating is gone. When I used to work as a welder, they place I worked had some awesome bits. Biggest thing is to keep the sharp and cool. Once they get heated, they go dull. You don't want too steep of a bite either, they will fail faster. We actually used to use an upright belt sander to sharpen them.
Wow, welding is something that is pretty much everywhere...