If you want to anneal the piece get it cherry red then place it in some vermiculite. The slower you let it cool the better, an hour or so? With large pieces of high carbon I let them cool over night. You can then drill the hole with ease. If this is a piece you need hardened again you would need to know the steel composition to correctly heat treat. Roughly 1550 F for Austenite then a quick quench in heated oil 150F would most likely work for you. You will also need to temper the piece after that so.... 400f for an hour in the oven should do the trick. This may be more trouble than it's worth. I would be tempted to zap a hole with a plasma cutter if the hole diameter wasn't critical.