Just a thought, but some magnets are formed as a ceramic. Just as metal drill bits don't do a good job drilling through concrete, they don't like ceramic either. If you have chips of the magnet and they seem brittle and "rock-like", you may consider googling to see how to drill ceramic tiles. Of course if you are buying stuff to cut holes in a magnet, perhaps you should just buy one with a hole in it.
http://www.radioshack.com/product/in...ickid=prod_cs#
seems to be what you are trying to make, and it doesn't cost as much as a drill bit.
Greg McKaskle