Looking for Wire Lockable Metric Socket Head Screws for exhaust Bolts on a DLE Engine; looked everywhere in the USA, such as Mcmaster-Carr, American Bolt, etc; can find Standard Sizes but no Metric Wire Lockable; available in England/Europe; tried drilling my own, went through Six 1/16" bits before I gave up trying; I need M5 X 20mm & M5 X 30mm.

Maybe try an aircraft supply place. But from them, you will pay a premium price. The reason you went through so many drills, is that S.H.C.S. are very good steel, that is heat treated. They can be drilled,with a good twist drill, in a drill press. Everything must be held rigid, and lots of good cutting oil. R.P.M. of the drill is important also. Most people run drills too slow. Another option would be to take them to a Machine Shop, but you're going to pay for that too. Have any friends that are Machinists?

Appreciate the reply, I was using a Drill Press, had the Bolt Clamped, cutting oil, etc; and just couldn't get the holes drilled; like I said I went through 6 drill bits; my neighbor works in a plant that makes Hydraulic equiptment, I will ask him.

Those are grade 8 or 10 so they will eat up a drill bit.

Yes, I found out the hard way and tore up 6 Drill Bits and gave up; there has to be source out there, I found a few in England, waiting to hear back from them.