High Speed refers to the type of steel alloy used to make the drill bit. This is an air hardening steel (high speed cooling) the hardness should not be affected if the bit is heated (even to redhot ) and allowed to cool in air.
Hot enough to give you a really good burn if you touch it !
With a high-speed drill or rotary tool - carbide or diamond bit.
You don't need a diamond bit. High speed steel will do as long as you drill slow (about 400 rpm) and keep the tip lubricated with cutting oil.
You can drill holes in aluminum with a drill as long as you have the proper drill bit. Use a regular drill bit and keep speed moderate.
I have worked with tools over 40 years and never seen an iron drill bit. Most common drill bits are HSS -High Speed Steel.
A standard HSS drill bit, slow it down from normal drilling speed.
Larger bits require a slower (more power) speed.
You drill plexiglass with a standard HSS drill at a low speed and with a piece of wood right where the drill point will exit the work.
High Speed Steel is not a type of steel. It is a designation given to any tool that is capable of cutting into or through steel at high speed. A drill bit for example. Refer to the question "What is the difference between mild steel and high speed steel" for a more thorough answer.
You have to use the hardest, most expensive drill bits you can find. Use a drill press when possible, and cutting paste. Use a slow speed and firm pressure. If you use a high speed, too much heat is generated and the steel will harden and blunt the drillbit.
My favorite is simply a high speed steel drill bit, running at SLOW speed (slower than you'd run if drilling mild steel) using green goo as a lubricant called "Westlube" made by Westland Products Company. http://www.westlandproducts.com/ In our operation Westlube changed things from 2-3 holes per drill bit to hundreds of holes per drill bit. For stainless, it's purely magic!
B. 2,500 rpm
B. 2,500 rpm