I get asked about this a lot, so here’s what works for me.
Put a layer of hot glue in the bottom of a shallow glass dish. Settle a third or so of the rock into the glue before it hardens. The top of the rock should sit below the top edge of the dish.
Fill dish with water. Insert diamond drill bit into flex shaft handpiece.
Start drilling slowly through the layer of water into the rock. The glue will hold the rock in place. Peck gently once you have the hole started. Moving the drill in and out of the hole so the bit cools in the water and fresh water flows into the hole. The water will start to get cloudy. If the drill is held in place for too long or the drill is too fast, the bit will overheat and the diamond pieces will start to flake off. You will know the drill is through the rock when you feel the change as the bit goes into the softer glue beneath.
Dump out cloudy water, refill, and drill the next rock. When all rocks in a dish are drilled, run the dish under hot water to loosen the glue. It is usually easier to get the whole piece of glue out of the dish. More hot water will make the glue bendable so the rocks can be worked out of their glue hole.
I find that a diamond core drill bit works better than a twist drill bit. The best advice I got about learning to drill rocks was to be patient!