I you are going to bore hardened steel on the lathe you can use Ceramic tips which does't require any annealing of the work piece.

You can use a Carbide Masonry Drill but it will need to be sharpened the same as a normal twist drill using a Green Silicon Carbide green wheel. Alternatively Carbide Ratio Drills can be purchased from Guhring.

Or you could just buy the Redding dies shown in the link from DD.

Matt.