How drill polyurethane properly?
Polyurethane can be drilled with a common high-speed twist drill. It seems as though your issue is more related to the shape of the surface rather than the material.

To stop a bit from "walking" you should be using a punch or awl to create a small divot at the intended drill location. It may help to start with a much smaller bit size, then increase bit size in step until reaching needed hole diameter. 

Your issues with difficulty drilling adjacent holes, and "incline... from drilling angle (sic)" are related to the method. The piece should be clamped securely when drilling, so it cannot move, and you should be using a drill press (or at least a drill guide) if precise drill angle and depth are needed.