Dependes on how hard hard is.
Properly hardened high carbon streel, like tool steel for punches and dies - forget it, you won't even sratch it with a regular HSS bit, no matter what coating. And hard metal bits, or carbide bits won't help you much, either.
Surface hardened by carbonizing, or induction treated - with a hard metal tipped bit, or carbide, you might be lucky. Once you are through the surface, things get better.
Tempered steel - depends on the treatment it got, but generally coated HSS or carbide will do the trick - just a lot slower than on Al or mild steel.
Unfortunately, the use of the word 'hardened' is a bit blury in the English language - so you might just talk about a high tensile alloy, or a tough stainless steel. In that case: coolant is the answer. Increases the life of your drill bit a lot. Also - drill presses are not used in the same way as hole punches! Apply force, but not so much that the machine twists and bends. And keep the bits sharp by re-grinding them.
Hope that helps ... some rambling of a German toolmaker and mech. eng. .....
Stef