Perhaps you may have been running too slow and tended to feed too fast, 4140 is not all that hard, even in the commercial heat treated condition if it is annealed, not much speed reduction compared to CRS 1018 is required; one thing you could do is to drill the pilot hole as deep as is appropriate, then drill a larger hole to a depth less than the pilot hole to allow chips to work out and coolant/ cutting oil to work in; also it is good practice to withdraw the drills frequently to clear the chips out and re oil the drill bit If the drill is making any noise, it is definitely time to pull it out. Depending how large the finished hole is, I would grind a drill with a split point and not use a pilot hole, only a center or spotting drill to start the hole.