the best way and the way i have been doing for months now is i have a dremel, its like a smaller roto-zip and it came with a few diamond bits. One is a sphere, one is a cone, and one is a cylindar. I get the dremel at full speed and slowly carve away the glass with the sphere one (practice make perfect). I take a small layer at a time. Soon a tiny hole gets through and i move on to the cone shapped on until the hole is big enough for the cylindar but. Then i just carve until its the appropriate size. Hope this helps a little.
I am going to try some of the ways u have heard cuz the heating one spot and drop of water on it would be great for the shot holes i need to make.