If it's a small hole, just get a cobalt drill bit and go at it. Go slower than usual, put some cutting oil on it, and best case, a drill press.
If it's a big hole, well then, we've got another ball of wax here. I had to blow some really large holes in 1/2 hardened SS (mower blades) recently. I have a big drill press, so, at least I had that going for me. Started with bi-metal hole saw. Barely scratched it. Moved on to a monster drill bit, ruined that too (there's a name for these bits, where the bit is bigger than the shank, don't recall it though). Anyway, finally broke down and bought a carbine cutter:
https://www.amazon.com/gp/product/B0002PS7I0/ref=ppx_yo_dt_b_search_asin_title?ie=UTF8&psc=1
Cut it with ease. If you're cutting thick steel, the right tool is an annular cutter, but I don't have the right connection on my drill press for it (I could get one, but that's another 200 bucks). The bit I linked worked very well, blew 2 holes in about 10 minutes using that bit, some cutting oil, and my drill press on around 120 RPM.
I do wish they'd make an annular cutter for a standard shank. That's the "real" right tool for big holes in steel, but it's got a lot of cost associated with that first hole, so it depends on how many/much your gonna use it.