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Always return the chuck key to it's designated spot on the drill press.
Clamp your work if it is small or sharp. The drill press can grab stuff suddenly.
If you're drilling, and it's not going easy, you are heating up the drill bit, which will quickly lose its temper and dull. If this happens, ease the bit out to allow the sawdust to clear and replunge it.
When drilling metal, slower is better, and use cutting fluid. When drilling wood, fast is better. For recommended drill speeds (speed depends on drill bit size and material you're drilling), unplug the drill press and open the cover. There's a lock on the motor. Loosen it, move the belt to the desired speed, and tighten the lock again.