haven't tried heating up the plastic but you could do it too on plastic but you just have to do it really careful and slow.heating up the wire can leave "burn marks" on your figure.and also,u may want to cut the wire diagonally to have a sharp point.this will help you do it better.
I didn't drill it. the figure im using is kinda rubbery..so I just have to pierce it through.careful enough not to push it too hard or it might get to your fingers.