heres a hardened HPI Baja axle i cut with a normal hss steel parting off tool on a lathe then drilled and tapped a hole.... (most average drill bits are hss..."high speed steel")
just whet slow and took my time (well it took around 40 secs as apposed to 5secs)
if you hear it squeal halfway through then sharpen it and go again
you should be fine