I cut s/s all the time ant typically use an abrasive cut-off wheel. Wrap a strip of paper as SH mentioned to get a straight line and go for it. The metal may turn blue on you a little, but you can clean it up. Just remember heat is the enemy.

S/S does not react well to heat and will burn up a drill bit in seconds if you go wyde clyde. I use a good sharp bit and "bump" (fast/slow, off/on senario) the drill while keeping good pressure on it. I drill 1/4" 304 s/s all the time and use the same bit over and over.

There are two types of s/s. 300 & 400 series. 300 is cheaper, magnetice and WILL rust. 400 is food grade, is non-magnetic and wont rust, unless as someone mentioned you use a cut-off wheel with steel particles in it.