You may want to have a look in the manual ....Tutorial #1 , page 41, Drilling Holes.
Note that you will only get a G81 and need to manualy change the posted code if you want a canned cycle.
Additionaly you may want to create the holes on a seperate layer especialy if you have a number of different hole sizes to be done.
BTW i use circles for the holes in CAD.
RICH