I use a drill press for mine, but you could use a drill. I also use vice grips. As far as marring them, remember you have plastic caps to go over them, so it shouldn't be a big deal. Alternatively, I use a bit of old tire tube to wrap around the weight and then clamp with vise grips.
I've ground the collars on several bikes and I don't notice a very large change. Lightening the weights helps a lot with acceleration, however.
I tell you what though, nothing beats a Polini. I'd get that before a kit any day. It just changes your whole world.
Malossi is good, but Polini is better.