To answer your last question first; yes coolant/lubricant is advisable when machining aluminum.
For hole drilling normally it is best to avoid pilot holes. Certainly you should use a center drill or spot drill to make a dimple to start the hole. Spot drills are specifically made for this purpose and they tend to be self centering in the lathe.
Drilling a hole in increasing steps is only needed if the machine simply does not have enough power to drive the large drill. But the steps should be as large as possible. When a drill is only cutting at the outer edge it tends to grab into the work more than when the cut extends over most of the cutting edge.