Specialone

I once drilled 4 M12 locking wheels studs froma vauxhall astra cos id lost the removal key.
I drilled all 4 perfect and the coils just fell out, the engineers at the place i was working at the time couldnt believe id done it with a pistol drill.
Done exactly like Chris said, pilot drill first then worked way up.

Btw some studs get rediculously hard, ive got a honda 125cc engine with a broken exhaust stud, like it when i got it, tried drilling it, got about 5mm then it got stupid, used my bestest drills (tin coated jobbies, not cheap ones either), would hardly touch it.
May have to get my mate to spark erode it out.
Or cope with one stud, it is only for a go kart after all.