I've done four holes with my Harbor Freight bit, and it still works fine.
I don't let it get hot, at the first hint of smoke, I stop and oil it up. I'd rather it take a little time than ruin the bit.
This is my story as well.
I used SLOW speed (Think very short bursts almost like a quick pulse), after each "step" I removed the bit and used "non-stick cooking spray" as lube on the hole and the bit to allow for proper cooling and LOTS of pressure. The pressure actually kept the bit from turning to fast IMO.
Unfortunately, if you get the hole to hot (You should be able to touch it and not burn your hand at any point) you are done.
I have done 5 holes with the same HF step drill in stainless and even more holes in nonstainless projects.