Drilling holes in thin brass

[Steamtrains]

If you haven't cut the pieces to their final size, it's easier to drill the hole first if the pieces are still "stock" size, or at least quite a bit bigger than their finished size. Having a good chunk of metal around the hole will go a long ways towards keeping the piece from getting chewed up. You should also clamp them to keep them from trying to follow the bit.
Once drilled and deburred, you can cut them to their final size.