How Do I Drill Holes In A Bike Cog?

Pilot hole? 

Buy brand new bit just for this?

It’s heat treated steel. As hard or harder than your drills. Masonry bits with carbide tips may work but you will probably need 1 for each hole.

A machine shop with a wire EDM will also have a hole popper and they can put the holes in.

Cheap though not necessarily inexpensive hardware store drill bits probably won't work. Find your local machine shop supplier and buy a Cobalt stub length drill bit from them. Or buy one from either MSC-Direct.com or McMaster.com While you're at it buy real cutting fluid, it WILL make a huge difference.

Carbide drill and a mill, or bolt a vise on a drill press.  As long as the drill press has a wide range of RPM.  And use coolant.  Go slow, its going to take time.  Gentle pressure let the drill do the work.

https://www.treefortbikes.com/Problem-Solvers-Singlespeed-Cog-Fits-Carrier-6-bolt?utm_source=google&utm_medium=cpc&adpos=&scid=scplp3332223953752695&sc_intid=3332223953752695&gclid=CjwKCAjw-YT1BRAFEiwAd2WRtkYeYm8lfPz9Q7eDbAuS5j0_0Wi-rDBBZIJQz6_jqGclLi4KER8xzBoCzCIQAvD_BwE

this may be a better option, it will be really hard to drill through a coaster brake cog. and they are often offset, possibly right where you would need to drill.  it's 3/32"  but it would work fine with a 1/8" chain if that's what you have.