I've also read that if you keep water handy and keep dipping your drill bit into it to cool it off that helps too? I've always been afraid to drill holes in anything ceramic but I think I've found something that would be perfect to experiment with. I have numerous pieces of china which will be smashed anyway for mosaics so if I mess up it's no great loss! 
However, I think I solved my dilemma yesterday for the first shades I want to work with. 
I was at Lowes checking out their display of solar lights and found some with a large enough diameter to fit snugly inside the top of the shade. They were a little more expensive but I really like the shades I'm using for my first attempt with these solar lights so I didn't mind paying the extra $$ to get the look I wanted. 
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