Drilling Plastic
From Ed's Mediawiki
Using a regular twist drill in plastic is a problem because the cutting edge takes too big a bite on each rotation of the drill. The best way to drill plastic is with special drill bits designed for plastic. These bits use a scraping action instead of slicing into the material, and they have a much more acute angle on the tip so that the hole is more gradually enlarged than with a metal cutting 118 or 135 degree bit. One brand is "Plexi Point," shown below.
Regular high speed drill bits can be ground to cut plastic. See this site for details.