You can get things called HiRoc and HiTough Drills.. they are solid carbide and can drill up to 60+ HRC and wont leave much if any of a heat affected zone. Not cheap though. I drill holes in ball bearings with them quite often.
You can try with a masonry bit from the hardware store on the cheap.. it may/may not work but you could give it a shot.
It depends what you are doing lube will still get to the bearings on the sides of the rod, if you are revving 12K+ then yeah the center holes on the small end and the big slots on the bottom end help promote lubrication at the center.