File down the end of the bolt you are going to drill so that its surface is completely flat.
Center a hole punch directly in the middle of the bolt you are going to drill and tap it with the hammer to create an impression you will be able to drill into. This indentation where the drill bit will rest needs to be as centered as you can make it.
Install the proper size drill bit to the end of your drill. The proper size will ultimately depend on the size of the bolt you are going to drill.
Set the end of the drill bit against the flat end of the bolt and begin drilling. To extract the bolt, drill about 1/2 to 3/4 inch into the bolt and then reverse drilling.