[brucepick]

OK.
Have now drilled all 16 lug nuts, and have epoxied a nut into one of them. I claim to have learned a few things along the way.

1)
When your buddy who has a drill press starts inventing jigs to guarantee hitting the center punch in dead center on the lug nut cap, don't. Unless maybe he's a skilled machinist. In my case, I did much better than his jigs and schemes, by carefully eyeballing for the center of the lug nut cap, and giving it one good whack with a small-diameter punch. Follow up with one or two more hits to make a good impression. To find the spot: Eyeball across two opposite points of the hex corners, and then across another two opposite points. And of course just look down at it to verify you do have the center.

2)
If using a drill press, align nut under bit so that when bit comes down and makes contact, it does not [need to] bend to follow where your punch is. If the bit angles over, let it back up and move the nut to where the bit will be.

What I'm trying to say is, assuming you have the punch mark in the right spot, you ALSO need to line up the nut under bit so the bit comes right down into the punch mark. Due to the nut's domed top, the bit will wander off if you don't drop it right into the punch dip point.

3) EPOXYING THE INNER NUT
I had a couple false starts on this today. Finally got one nut in there well.

My idea to load epoxy onto the surface of nut where it will meet the inner cap failed miserably. I figured it would mash against the inside of the cap and set, but it all just came apart. I only waited about 25 minutes before pulling the screw out, but I think the problem was not enough epoxy and not in the right places, and too much anti-seize all over everything.

Here's what did work for me:

Definitely give all threads a coating of anti-seize, otherwise you'll likely not get it apart.

I positioned the nut where it belongs, held in place by a screw going through the cap, and a nut on the outside, hand tightened. Then "load" epoxy into the cap area via the main lug nut opening - the threads. The screw has to go fully through the nut and extend towards the lug nut's large opening. That's so the screw leaves a clear path through the hardened epoxy.

I put the loaded-up lug nut between two boards (1x3's), held against two flats of the lug nut by a clamp. Cap side down so the drippy epoxy stayed where I want it.

And, I waited a whole hour to make sure the epoxy had time to set, before I tried to get the screw out. It was good. This epoxy reaches full strength in 24 hours so I'm not rushing to put stress on the epoxy.

At this rate, it will take me about two weeks to do all 16 lug nuts. I hope to do them in sets of four now that I think I've figured out how to do it.