Place a small piece of masking tape on the back of the bottle about 3 inches up from the bottom. Start drilling; don't use too much pressure, the bottle might break. The tape is to keep the drill bit from jumping around when you first get started.
Be VERY careful; this is a slow process and is not to be attempted by impatient folks.
Drill until the bit goes all the way through the glass. There will be glass dust in the bottle so you will have to rinse this out. Allow bottle to dry.
Push each light into the hole that you have just drilled. This can be tedious and is not for the fainthearted. After all 20 are inside you are finished. Voila, it is gorgeous and magic!