| I've actually done this before with a Black & Decker and while it may sound like a scary prospect, it's not. It'll take you 5 or 10 mins.
I had to do this on a set of customers wheels and called the wheel supplier to ask if it was ok to do cos i was very reluctant to take a drill to a brand new set of alloys! They said it was a regular task for them and they have to do it a few times a week and I shouldn't be worried about it. A few other suppliers confirmed the same. Once i'd drilled the first hole I didn't know what all the fuss was about!
The only remotely difficult bit is starting to drill the hole without the drill bit 'catching' and trying to rotate the drill out of your hands! I found the easiest solution was to start the drill bit spinning before actually making contact with the wheel. Once you've started drilling allow the drill bit to guide itself thru the hole rather than exerting any force with the drill.
Oh yeah, drill from the back of the wheel to avoid paint damage to the front!  | 
