You can buy masonry bit that have a ground edge to drill a variety of materials including steel see **LINK**
To quote "High performance bits with multiple diamond-ground carbide tips.
Suitable for masonry, wood, aluminium, structural steel, plastic, concrete B35 and multi-layer materials such as tile on concrete."
I've used them to drill though aluminium then into brick also wood into brick/concrete block.
Bob
Edited By Bob Brown 1 on 02/06/2015 22:29:37