I would try to find a wooden dowel that is as close to the ID of the leg as possible. You clamp that in a vise and you run the risk of egg shaping the leg.
These legs are kind of thin.
I would do the same thing using a center punch.
Cobalt bits are fine. No need for anything high speed. Just go slow, speed is what kills most bits anyways. Start small and work your way up to the final size.