Lazyman and Pottz - I had driven a steel screw first to cut the threads, but I think I may not have bottomed-out the pilot hole when driving it. I've heard the wax tip before, but didn't think to do it. Live and learn.
Ty - thanks for the comments and tips. I'll look forward to my next attempt at CNC metal cutting and will see how I fare with a larger bit.
Dave - I also tried a screw extractor, but ended up blowing out the opposite side with the tip of the extractor! It was definitely a comedy of errors.
Splinter - I'll file that technique away for future work.