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@Oswald
The screw grade that Thomson claim to use is really hard. I don't know what you're doing so ignore any comment that's obvious!
Drill speed .. You need to go slow or the drill will spin, overheat and go blunt.
Drill feed (how much you press down) .. You need to be aggressive to start the drill cutting then back off and let the drill do the work.
Lube .. Use some oil. Ideally it would be cutting fluid but chain lube or anything that keeps the cutting action cool.
Drill .. Ideally you want a Cobalt drill. You can use HSS but it will blunt quickly so you'll need to change drills. Also you want the shortest drill length possible so a stub drill is better. The longer the length of drill extending from the chuck the more it can vibrate. Vibration leads to the cutting edges going blunt.
Using a smaller diameter pilot drill to start with will allow a higher drill speed and when you move up to the 4mm it has less material to remove but you'll have to be more carefully to avoid drill breakage. I hope that gives you some options ..