Steve, it is possible to drill plexiglass with a regular metal drill bit. It's best done with a drill press, slowly and gently as the bit tends to melt the plastic. However, as Henry said, if the bit catches on the plastic it will crack it. It can be done and I've done it many times. I've also cracked quite a few. You could heat a 3/8 inch rod and melt a hole through it.
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