The truth about sticking drill bits
Finally a topic I actually know something about.
Since you are cutting what is considered a soft metal (compared to steel) you actually need to bump the RPM of the drill higher. Also since the drill size is small the speed needs to be higher. Now here is the important part you have to push in slowly, small lighter pushes and keep backing it out to clear out the chips.
For your .5mm drill bit I would suggest a speed of about 25,000 rpm. Use little pressure pushing. You want the drill to cut not rub. Let the drill do the work not you pushing it in.
Todd's rule of thumb when drilling.
Small bits (small than 1/16" or 1.6mm diameters) need high RPM 15,000+ very small pressure or small rate of descent go 1/5 the diameter of the drill bit then retract to clear chips.
NOW THE GEEKY PART (read on if you are bored or interested)
You do not need oil or WD40!!!! Trust me!!! The purpose of these is to keep the cutting edge of the drill cool so that it will last longer. The materials we use in this hobby (metal or resin) are much softer than the drill bit so the cutting edges will stay sharp for a long time. Also the sizes of the chips that are being produced by these drills are very small close to dust size. So any liquids used will most likely create muddy or concrete slurry to clog up the flutes. After having said that, if you still feel you have the need to use a liquid coolant, just use water. Afterwards spray the drill with WD40 to prevent rust before returning it to the toolbox.
Using candle or beeswax only helps to keep the sides and the flutes from getting sticky due to fine dust. The inside of the hole you are drilling is like sandpaper on a micro level. So the wax helps negate this.
Two reasons a drill gets stuck. One the chips have not cleared out of the hole (no matter how deep) so the material forms a wedge along the side of the drill.
The second is when a drill breaks through the material but the drill will only come out if it is twisted. You actually see and feel the drill dragging along the flutes of the side of the drill. This was caused by the drill not spinning fast enough to make a completely circular cut when it reached the other side. The cutting edge of the tip of the drill cut just enough material to allow it to pass through. The material that is left fits exactly inside the flutes of the drill.
One fact to always remember the side of a drill does not cut!! They have an edge but it is very blunt compared to the tip edges which have been sharpened.
So now wake back up I have finished my geeky rant and go paint.
I hoped this helped.
Todd