This kit is not Black Oxide but a combo of HSS and titanium. Will cut thru almost anything with no or little walking because of the split point.
Push up on the lip of the black cap.(right side in pic) See pics
Have a new chuck installed on your drill
Yes. They use a 3/8" shank for the big bits.
No, these bits are high speed steel and can be used for soft materials (wood, plastic, etc) and metals up to soft steel. It takes carbide bits to tackle concrete and other masonry materials.
I think these bits would be fine for dry wall just watch the speed of your drill ( nice & easy )
Look up a cross reference table. Should buy metric sizes if you need them.
i would recommend using one of the larger drill bit so as to be able to use heavy duty hardware when anchoring the Address Plate, the Doorbell and the Mailbox. Each of those is a separate drilling and anchoring task. You May need molly bolts to anchor all that stuff unless you drill directly into the masonry or the furring strips every 18 inches apart.