To drill Plexi windshields in the homebuilt aviation, we use special drill bits designed for the task. They look like a regular drill bit but have a much steeper taper to the tip. Boat outfitters and Aircraft Spruce and Specialty both list selling 'acrylic drill bits' in several sizes.
When you drill the windshield, make sure it is quite warm (80+DegF) as cold Plexi has a tendency to crack. A good idea is to start small and open the holes up as you go up to final size. Spin the drill fast while drilling as that goes through smoother with less risk of cracking.
Hope these tips help.