That "grabbing" can really ruin a nice piece of metal or pull the drill chuck right out of it's quill (I KNOW but I'm not ready to talk about it just yet... :banghead I just picked up a set of cheap drill bits from Harbor Fright with the intent of re-purposing them just for making holes in brass and other soft metals. I used a technique similar to what Richard described. It makes a world of difference.
-Ron
To grind a drill for drilling brass hold the cutting lip against the right side of the wheel as shown in figure 5-25. Grinding the flute slightly flat, in line with the axis of the drill, greatly reduces the included angle of the cutting lip. This will give the drill a scraping action, necessary for brass, rather than the cutting action used for steel. This scraping action will prevent the tendency, that invariably occurs with drills not ground for brass, to stick in the hole being drilled. This sticking is troublesome especially when drilling through a pilot hole.