@Paolo_Amboni With a printed jig. I’m a big fan of printed tools to facilitate the build of a printer.
Oh, and a drill press of course. 1mm hole, then countersunk to prevent the hole edges fraying the braid.
@Paolo_Amboni I don’t have experience with this exact problem/these rods but when you deal with curved surfaces be sure to use a center drill to start the hole first. Odds are a standard drill will wander, bend and break pretty quickly without a good start.
@korpx In theory the jig prevents the bit from wandering i’ll post pics and stls as soon as I get the time.
Small update - Jig works, non-cobalt bits do not though 
(which I should have remembered about) Off to hardware store for 2mm Colballt bits tomorrow :). Additionally, I found a re-enforced cutting wheel on a dremel will grind the heardened rod allowing a flatter surface to present to the drill bit.
@Paolo_Amboni I will as much as I have time to - my major limitation is not having enough time. I’ve taken the day off work on Friday to try to get these rods drilled and knock off a few other outstanding tasks. I’ve been asking about and doing some research and come up with the following view of how to get the rods drilled:
You need to grind through the chrome and produce a good divot in the rod to stabilize the bit and provide a good cutting surface.
Start off slow to ensure the bit cuts without overheating,
Use cutting fluid liberally to keep the bit cool and the surface lubricated.
Maintain an even pressure on the drill for the entirety of the cut, backing off allows the steel to cool and hardens in the process.
Depending on the type of hardening process the steel has undergone, the ‘hard crust’ on the surface can be anywhere between 1mm and 2.5mm deep, after that it is much softer and easier to drill.
If all else fails, use tungsten carbide bits - I have bought 2 x 3mm ones from China in case the cobalt ones don’t do the job. They won’t be here for a couple of weeks though. I’ll post on progress on Friday.