I’m just researching this and am coming up with drill bits that look like this.
They’re called stuff like “diamond drill bit” or “jewelry drill bit”.
I found this blog on how to make holes. They are showing a hollow “core bit”. That looks interesting.
I found some in ebay and have them on order now.
I will give them a try. I’ll drill under water for cooling. I guess I’ll make a little stone holder out of wood and then place stones in it then submerge and drill.