The performance of a precisely controlled drilling technique is critical in the fabrication process of microstructured polymer optical fibres. For the creation of a holey preform, adequate drilling bits with large length-to-diameter ratios provide the ability of machining preforms with complex structures and large lengths in a relatively short time. In this work, we analysed different drilling bits and techniques that can be employed for the creation of such preforms, and key parameters characterising the quality of the drilled holes, such as surface rugosity, diameter deviation, coaxiality and cylindricity were measured. For this purpose, based on theoretical simulations, four rings of air holes arranged in a hexagonal pattern were drilled in the preforms with different drill bits, and the experimental results for the above mentioned parameters have been presented. Additionally, optical power distribution of the fabricated microstructured polymer optical fibres was theoretically calculated and experimentally measured.