If you're talking about steel stud and track framing used for non-load-bearing interior walls, those studs are actually pretty flimsy. They rely on the interconnected pieces plus the attached wall material, working as a system, to have any strength. The sheet metal in the stud will distort if you try to use just the stud to hold something. So don't count on drilling a pilot hole and then screwing into it like a sheet metal nut to hold a load.
If the plasterboard or drywall is attached to the stud, the stud can serve as a flimsy washer or backing, similar to how the paper surface of drywall adds strength to the plaster. Drill through it (using precautions as Iggy describes). Then use anchors that would be appropriate if the stud wasn't there. The stud will provide a little extra strength for anything that expands or toggles behind the wall.
However, if the wall material isn't actually fastened to the metal stud (there is a gap between the wall material and the stud), the stud could interfere with anchoring. It could prevent wings or a toggle from properly deploying, or they could deploy behind the stud and then the stud could deform over time, loosening the anchor.
So if you aren't sure about what's behind the wall, try to probe the hole with a piece of wire with a short bend at the tip to figure it out, or use anchors that rely on just the hole within the wall material.