I make the holes as deep as necessary. That is, if I know I have a deep location to work with, such as a shoulder or hip, then I err on the side of caution and make it kinda deep. If I have a small piece to work with, such as an arm off a light ‘Mech, then I make it as deep as I can without going through.

For the size, I usually drill into a bit of flash and test the size with the paper clip I’m using.

They should be close for a better bond. But as I said in the video, I’ve already broke a few bits, so I’m actually using the next size up and it hasn’t given me any trouble.

Just curious about some of the details:
What kind of Krazy glue did you use and how long does it take to be workably dry/completely dry?
How deep do you generally make the holes?
What size drill bit and paper clip did you use?
Do they have to be pretty close, or does filling the space with glue generally make up for it?