I've been meaning to post pictures of my technique. Drilling holes is still new to me, but it has been working so far.
First, I bought cheap diamond bits from Harbor Freight. I didn't want to spend money on good bits until I knew that I was going to have some luck with the process. These cheap bits have actually been working quite well for me so far. Here is the set I bought. But they had one in store that was missing a couple bits from the set and I got it for $15 instead of the $20 asking price.
http://www.harborfreight.com/50-pc-diamond-rotary-point-set-69665.htmlI use my dremmel (hand held) to drill the holes. I clamp the stone down on top of a block of wood in a pan, add just enough water to cover the stone, and carefully drill the hole. I start with a cone shaped bit until it pierces the far side, turn it over and run the cone through the opposite direction, and finish the hole off with a round-tipped cylindrical bit. Working up and down a lot while drilling is key to flushing away the debris and keeping the process going smooth.
This shows my setup. Notice the dremmel is standing there on its own. The hole is already drilled about halfway through and I was able to let go of the dremmel and let it free stand there to take the pictures.

A closeup

The finished stone.
