What Rob says, but I drill very slightly oversize and line the hole with a plastic tube covered in goop. If you block the end of the tube with a bit of pencil rubber when inserting the goop won't get into it and then if you slide it back and forth while rotating (all this gently) to spread the goop fully into the hole. Cut off and sand to fit when dry.

Depending on the hole size wanted. I have used the covers from marker pens, the plastic cores from fax rolls, rawlplug covers from screws, etc. Abrade the plastic with rough sandpaper first.

http://etiennemuller.com/northstar/pages/0065.html

For an example.

Et