By the way they're talking, it's almost like you take a steel rod and file it into the shape of a drill bit. The only handy sources of mercury that I know of are old thermometers and tilt switches. But you have to be careful since the mercury may vaporize slightly when you stick the red-hot wire in it.
I used to know a guy that drilled holes in bottles to use as incense burners. He used diamond-tippd drill bits on a drill press so the angle would stay constant. It gave nice clean holes, just go slow and it should work out fine.
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"Empirically observed covariation is a necessary but not sufficient condition for causality" - Edward Tufte
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