I'd highly recommend spending the little extra for drillco nitro gold, Morse marxman, Norseman viking, ect
The common knife sizes are $2 or less, and they vastly outlast everything else I've tried.
A top quality black and gold coated HSS drill has usually proven to be superior to cobalt in my experience working with blade steel. The cobalt drills are a bit more heat resistant, but generally have a thicker web. A thicker web leads to more resistance drilling, and more heat. It's always a trade-off, but in blade steels I've generally found the trade-off to favor a thin web.
And cutting fluid. Not wd40, not cooking oil, not any kind of lubricating oil. Lubricating oil is designed to keep two pieces of metal from touching eachother. Cutting fluid is designed to prevent galling and welding of two pieces that are touching. Lubricating oil will greatly reduce the life of tools, and make sharp tools cut like they're dull. A gallon of pipe threading oil is about $30 at a plumbing supplier, and will probably be a lifetime supply for the average knifemaker. It's well worth it.
From a cost perspective, using a drill sharpeners for tiny drills probably isn't worth it. But for 1/8" or larger I feel it works out in favor of the 30 seconds sharpening on a pedestal grinder takes. A good pedestal grinder with a pair of 120 grit stones (blue for HSS, green for carbide) is indespensable in any shop, even if you don't sharpen drills. Scribes, lathe and flycutter toolbits, cold chisels, center punches, even single flute countersinks can be resharpening well once you get the hang of it.