Petroleum Jelly
A small amount of petroleum jelly can be used in place of grease to insert the SDS tip into the drill. Petroleum jelly should not be used as a cooling agent but it provides the needed lubrication to slide the drill bit into place. It also is easy to clean off the drill bit when you are done.
Beeswax
Beeswax is often used as a lubricant for screws. This can be rubbed onto the SDS drill bit end for smooth insertion of the drill bit. Beeswax is an all natural non-petroleum-based lubricant for jewelry-making and cutting. Several types of drill grease actually contain beeswax mixed with other lubricants.
Metal Soap
What is known as metal soft can be used as a lubricant to insert the drill bit. This metal soap is normally made of linseed oil. Soap is the lubricant choice for many because of its cleaning properties when you are done. You do not have to add any other chemicals to clean out the lubricant. The soap is already present.