All of the above are good.
Your goal is just to keep it cool. So even water will work. Mineral oil or olive oil will work. I've never done the detergent thing, but I've heard good things.
In reality. This is just my opinion, and I'm sure you will use some sort of cutting lubricant. You really don't need anything. Slow with the right pressure is the best! Using a cutting fluid helps, not in making the hole, just in the actual heat.