If you want to screw into masonry, the most important factor is having the right tools.
Step 1 - Take Safety Precautions
Since you are screwing into masonry and using a bit of pressure with the drill, always wear safety goggles. It isn't uncommon for a small piece of masonry or mortar to fly, and you want to protect your eyes from this.
Step 2 - Install the Screw
Insert the masonry bit into the drill and tighten it with the key. Determine where you want the screw to be and mark the spot. Then apply gentle but firm pressure to the area to drill the hole the size and depth you need. Install the screw.
Some people prefer to install masonry screws into the mortar between the bricks, but you may encounter difficulty if the mortar breaks apart and you have to repair it. Start this procedure with gentle pressure and the drill on a slower speed. Always use a sharp drill bit. (If you use the bit very often, you may need to replace it frequently.)