A Dremel tool working at 30,000 RPM and very subject to breaking a drill bit as you complete the drilling of a hole is the wrong way to go while drilling a relatively soft and brittle material. Go to a hobby shop and get a "pin vise", which is a drill bit holder for hand drilling, and you will probably want to pick up some high number size bits while you are there. Your pin vise will come with a reversible collet in the chuch and another one inside the barrel of the pin vise. Select the collet that best matches the hole size drill you want to use and put the pin vise back together with the right collet in the vise and the bit in the collet. Without knowing more about the shells, I suspect that it will be difficult to start drilling without spotting the hole location with a slight depression so the point of the drill starts drilling and doesn't just wander. You might try using a center punch (automatic or manual) or even just scrape a spot with a hobby knife on the smooth surface where you want the hole to be before you start drilling.
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