(1) Sharp bit... check
(2) Low revs ( as slow as you can go!)... check
(3) High pressure... Check.
My guess is you are spinning it too fast and burning your bit.
Most of the steels that we are likely to encounter have a high carbon content so require little or no lube (according to my brother who designs Bentleys). But if in doubt lube it, any old oil will do but a machine cutting oil is best.