for mild steel, unhardened, I have used TIN coated bits(titanium nitride) with great success.
For high carbon, UNHARDENED, also TIN coated.
TIN will cut hardened steel, but it will dull quickly- so use something else.
Cobalt is best for hardened steel- or special carbide tipped bits(no, not mansory bits).
I have drilled holes in old files with TIN bits- but you must anneal the file first.