The step bit is easier to feel "pop" through without going in too far or tweaking it sideways.
I used to drill them out with normal bits, but lots of times, I'd be putting pressure on it, and it would finally pop through the weld, and I'd end up pushing the bit down in, usually mashing it into something else and denting/scratching it, or I'd end up tweaking the bit sideways in the hole and either break the bit or bend/warble the hole.
I guess it's mostly a personal preference, though.
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