First get a get a good center dimple with your punch.
Then start the first 1/8" or so of the hole with the smallest drill you own.
I would recommend using an intermediate sized bit next before moving up to the correct sized drill for the application. If you try to start the hole with the final size, the bit tends to walk towards the path of least resistance.
Another thing to consider is the condition of the drill bit. Also, a split point bit will not walk like a standard bit.
I would recommend the Drill Doctor product if you do a lot of drilling into metals and concrete. The latest model makes it extremely easy to redress split points. The earlier models did a good job but you had to look at the bit closely (with magnifier) to watch the progress of your efforts. The very early models only did standard bits. Get the model that also does larger sized drill bits.
Mine is the smaller version at the bottom. I'll probably upgrade and sell the smaller version as I do like the performance of split points.
http://woodworker.com/images/ss/105-926.jpg
This is the model that easily redresses split points.
http://www.drilldoctorstore.us/drilldoctor2.html
I just talked myself into a new one....ordered it here...good price, free shipping, no tax. I've had great results with Amazon for the most part. One gripe in all of the time using it and they showed an effort to rectify that problem. I signed up for their Amazon Visa credit card when I first started using Amazon. The rate was good and I was only going to use the card for on-line purchase until AMX Blue started some grief with me. I cancelled AMX Blue and use only the Amazon card. You'll get credits for using the card at Amazon as well as other purchases. As a result I receive many gift certificates in the mail from them.
https://www.amazon.com/exec/obidos/ASIN/B00...esearch13302-20
Jay in MA
I do use a punch and it makes a start for the drill, but as I drill it shifts to the side a little.It seems like the surrounding metal is softer to drill than the stuck bolt.
I still have a lot of rusted, and stuck bolts in the car.
I don't know if it is worth trying to get them out.
If I ever have to change any of the exhaust parts I will have to break them off and replace them.
The entire exhaust is rusted very much. I may need to change it all to get CA emissions to pass.
I can't believe my current car passed the smog check when it is clearly not CA emission equipped.
Fortunately I have another year before it has to be tested again.