Enzo:
You aren't the only person with that problem. You don't say what material you are drilling or whether the drill is hand held or in a press. Here are my general tips.
Use a center punch to create a purchase for the bit.
Use a reasonable speed, one which won't heat the material excessively.
Use some lubrication, wet water on plastic, oil on metal.
Have as little of the drill shank exposed as possible, you are breaking bits because you are flexing them, they don't like that.
Drill as close to 90 degrees to the material as you can manage.
Use only as much down-force as will cut the material.
Drill in stages. Cut a bit, clear the chips, cut a bit more, clear the chips, etc.
Good Luck
Randy