[Azriel]

When drilling it, ALWAYS put a piece of wood under it, and spin the hell out of the drill.

For anything over a quarter inch hole, I recommend using a drill press, still drilling through into wood, but don't drill through under power. Once the bit is completely into the plastic, shut off the drill press, hold down on the quill with light pressure, and turn the chuck by hand. Large bits will crack your plexi otherwise.