HSS bit and keep spraying with WD40 or similar to cool and lubricate, not to high a speed, frequent rests to allow cooling and let the drill do the work.
How big a hole? Start with a small hole first and work your way up.
Edit. As Mat says, don't center punch it!
No, but the drill bit may!Cast iron doesn't need coolant.
Low RPM, high pressure...
Cast iron drills/machines quite freely. Or at least most grades do if they haven't been heat treated.
From what I have read online (from specialist engineering forums), it may be a good idea to wear gloves and safety glasses, because drilling into cast iron can produce chips of swarf which travel at high speed and can penetrate the skin. They also recommend drilling without any lube. Oh yes, and use HSS drill bits at a low/medium speed.