I've always drilled holes in mine, for mounting the shoulder harness, that head support I mentioned, etc. Swing out side bars always have holes drilled through them. I agree with Ken that tubing that hole would make it stronger, but I've never been flagged for just drilling a hole, and I've had to have the chassis on three of my cars inspected by the local NHRA roll cage inspector, for the sticker to go 8.50. I think if you are in a time crunch, just drilling the hole is OK.
When I made my support I used some larger OD tubing that fit around the tubing in the roll bar, and cut it in half so that it would slip over the roll bar tubing. I welded the vertical tube to two of those "half moon" supports, then bolted through the supports and the roll cage tubing to secure it.