I would second the "not worrying too much about the bit" thing. I used a cordless drill that constantly died, the cheapest step bit I could find and zero cutting oil and had no problems drilling several kegs.
Add to this the fact that I'm a moron and spent about 10 minutes drilling through one keggle with the drill running in reverse. Yes, in reverse.
It still managed to cut through a keggle.
If you spend more on a quality step bit and use oil, the bit will last you longer but my experience says that you can still get through a whole set of keggles with something in the $10 range.