How to drill through hardened steel??

Agree on annealing it. I heat red hot and cover in lime to slow the cooling down, dirt or sand would be a good bet too. Sometimes I have to double anneal.

That "drill press" is better than nothing, but you really need something with some leverage and a vice to hold your part stationary.

And most hand drills turn to fast for serious metal work. Slow it down and you will do much better.

Best,

CE