While steel is softer than stainless steel, the principles hold the same; but the job will be easier! Steel is a very strong and hard metal, so drilling it needs to be done slowly as to not cause excess heat to build up.
If you are using a drill press, which is preferred as control over speed and pressure are greatly enhanced, then you will want to look at where the belt is positioned.
The belt should be placed on the pulleys to give you the lowest drill speed (and resultingly the highest torque). Then you want to use light pressure as you cut your way through the steel. If you are drilling a small and shallow hole, you may be able to drill dry without generating too much heat. If you are drilling something longer or deeper, consider using a cutting lubricant as it will help reduce friction and heat buildup.