They're steel. Not super hard.
I did a few back in the day, and used an end mill to make each cut on my mill. Possible but not recommended for a drill press, though you can do it by walking it over on an xy table and taking only plunge cuts, with a final side-cutting cleanup pass.
Also possible using the abrasive cutoff wheels in a dremel, or a hand edge grinder, but those two methods lack the stability and precision of a mill or xy table on a drill press.