maxim,
The best luck I've had at drilling holes in copper, whether starting with the final bit size or working up, is to attack the copper aggresively. Meaning fairly high feed rate AFTER you get the hole started.
As you pointed out, this keeps everything cooler. Why ? you may ask.
Well, as your bit cuts deeper, you have the cutting edge of your bit making less repeated contact with the same local area. In other words it's progressing DOWN into the copper and the heat is being carried away with your shavings.
If you aggressively cut into the copper about 1/16" to 1/8" at a time. You don't need to have oil or anything. Cut it dry.
Smaller pieces of copper will retain more heat, but that's my experience with ½" thick 2" x 3" pieces.
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MMZ>TimeLord
"Oooooooooh... that's gonna leave a mark!"
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