I will let the others fight about how to wire it. But you should hook up both speeds if it is a two speed drill press. Running to high of rpm can burn up bigger drills because you are not running the right surface speed for the drill and the material you are drilling. You should get a chart so you know what surface speed you should be running. the bigger the drill the slower the rpm's. they can drop down to as low as 2-300 rpm's for big drills, up to 10-15,000 rpm's for smaller drills. I know your drill press won't turn those kind of rpm's but that is what it takes for small drills, some go up to 30,000 r's.
Then too, you have your feed rate, if you try to push the drill to fast it will burn up. Of course this is all mute if you have a lot of money to buy drill bits.
If you can get good bits from a supply house, if you can find one that sells to the public, or find a buddy that works in a machine shop, they might get them for you.