Keep drilling until the headpin comes out the other end. You can also use the blunt end of a large, very straight beading needle. I have a really long beading needle made for size 10 loomwork that would work pretty well for really narrow quills. Go slowly and be careful, or the headpin will split the quill. Well, later, when you're sewing through them, it will make inserting the needle and thread easier.
Undrilled ones tend to stay put without turning or moving up and down on the thread.
I want movement and flexibility in my fringe. I like to not drill the quills I use in brick stitch, because I want them to stay put. I sew through them several times, going through a slightly different place inside the quill's core, making a stronger row. For Designers One of cool things about quill bugles is that you have two colors to work with on each quill. I like to create contrasting patterns with the natural cream and dark brown colors of the quill.