Another little tip if you are going to buy a step drill. spend a few extra dollars and get a Cobalt bit rather than a standard high speed steel one. Lowes (about the lowest price on quality step drills) has a Irwin #4 in HSS for $36, and is only $42 for Cobalt. The Cobalt bit will outlast the HSS one by at least a 3X factor, so it makes it an incredible value. I had to replace my #4 bit this week, and it is over 7 years old. I have used it steadily for all this time, so it has served me well. If you are ever going to use it on stainless, a Cobalt bit is almost a requirement.
Of course, I feel the same way about conventional twist bits as well. Cobalt is worth the additional price, if you shop around a little. Even though I have a Drill Doctor, it is still a pain to have to stop and sharpen bits! I drill a pretty fair amount of stainless, and HSS bits go south after just a few holes.
Regards, John McGraw