The directions I found online didn't say anything about drilling holes in the board so we didn't do it. I only have a $10 iron from Walmart and have had absolutely no problems with it at all. I've been using it for about 6 months now.
I'm sure if you want to drill holes in it, go for it. If my iron dies then I will consider taking apart my board and drilling some holes in it, but for now, my board makes me happy :)