Jim,
The real issue is the quality of the drill bit. Cobalt adds abrasion resistance and (a bit of) surface hardness that may or may not pay off for you (it depends on what you end up doing with them). Beware of the cheap Chinese drill bits as they are rarely even close to round or straight. I am quite a drill (& tap) snob. Pulling broken bits out of a part gets old in a hurry. Poor (mechanical) surface finish leads to cracking. Well finished bits with a smooth finish that are round and straight will save you a lot of grief.
A reasonably good drill grinding set-up is a necessity for anyone who does more than occasional drilling. The (relatively inexpensive) Darex grinders are "pretty good." [I have a 1972 vintage Pratt & Whitney drill grinder, so my "basis" is set quite high.] If you do the set-up for it properly, the General Tool drill bit grinding support will do an excellent job. A hand honing grind for small (<.100 in or 2.5 mm) is also in order. The one shown in Guy Lautard's The Machinist's Bedside Reader works reasonably well and is not too hard to make.