I would strongly recommend not drilling into the denim - unless you glue or expoy it hard first. Even then I'd be very careful.

What will likely happen is the threads will get caught up in the drill bit and it will grab and rotate the whole job very fast, thats if it doesn't try and tear the denim off first. Multiple strands of denim/cotton are very strong. Having worked with lathes and other fast spinning machinery a lot, the idea of that scares me.