You want to get a cone shaped Stepped drill. Bought one myself, very very good, perfect holes.
I have attatched a link to give you an idea of what they look like but you want one that goes from about 2mm up to about 12 mm in 1 or 2 mm incraments. I paid about £18 for mine and worth every penny.
Here's another link at a more realistic price! UK as well and you can order online.
Assuming you're drilling holes for fasteners etc, this Step Drill will be perfect.
Also, cover area to be drilled with masking tape and drill from the gel coat side. Take it nice and easy at SLOW speed. Once you have the size of hole you require, use the next shoulder on the bit to put a chamfer on the edge of the hole. Helps to stop the gel coat cracking through use.
I would tend to agree if you're using a normal drill bit. However, in my experience, the cutting edges on a step drill are so sharp that it tends to pull the bit through the panel if the speed is too high. Before you know it, one lovely 14mm hole - not good! Unless it's red of course - then all you need is a ballpeen hammer!!!
Because a drill bit is a twist bit it will pull the material towards it. To prevent this grind off the inside face of the bit. Instead of cutting it will scrape its way through.