Yeah it seems like this is what I'll have to do. Would I just clamp it in a bench vise?
Yup. I'll definitely try smoking it with a filter and without a filter or converter (though this seems like it'll be a huge draw, especially with the 9mm). I've only ever had a filtered cob and didn't fancy it but am open to giving it another shot.Have you considered smoking without a converter?
Yeah this probably makes more sense than using an power drill.Personally, I would drill manually using something like the one below. I have one and it can be very handy. They are readily available at Amazon and other online retailers.
Go slow when drilling and you should be fine.