My "day job" is in maintenance in a food grade production facility. I work with fabricating, welding, machining, repairing grades and thicknessess of stainless steel all day.
What most folks have said above I agree with completely. Here's my two cents.
#1 The most important thing is 6% or higher content cobalt steel alloy drill bit.
#2 Go slow. A variable speed hand drill is usually too fast. A drill press is preferable.
#3 Use cutting fluid.
#4 Use pressure. (again, drill press)
#5 Mark your drill point start on your material with a good center punch.
#6 Step up from a smaller bit to larger. (1/4" hole or larger, start with a smaller drill first).
#7 If drilling thin material back it up with something harder than plywood, like aluminum plate.
If you need to make larger (larger than 1/2") holes through thin material. Start with a 3/16" cobalt drill bit to make your starter hole then change out to a stepped drill bit. Don't use the thick backing piece for working with the step drill bit. Works real well for me.
http://www.grainger.com/Grainger/items/5YR46
http://www.grainger.com/Grainger/items/2CJR6
