You didn’t say what size hole you’re trying to drill into your 5mm
square wire. 1mm holes are different than 4mm holes, you see…
Meanwhile, for drills, I usually get short “screw machine” drills
from MSC. (www.mscdirect.com) They’re shorter than normal jobber’s
length drills, which means they’re more rigid, and less prone to
snapping. They’re plenty long enough for the things we use them for.
For very small holes (sub 1mm), it’s best to use a drill press. (or
a DP jig for a flex shaft.) It’s very easy to tilt your hand, or tilt
the work piece, or otherwise get the drill out of perfect
concentricity with the axis of the hole. Once that happens, the drill
snaps almost instantly. The little guys haven’t got any strength to
resist flexing, so they just snap.