I did some testing before I drilled out my CP, and found that a forstner bit just wasn't doing it. Don't know what I was doing wrong, but I had a hell of a time cutting through it at all. They're also very expensive, and I didn't have a 1-1/8" already.
So, what are the other options? I've tried hole saws on plexi before, and they worked OK, but I don't have one in that size (and didn't want to buy one, since for the same price I plan to get a whole set soon, when I can make the trip to Harbor Freight). A regular spade bit got through, but left very rough edges underneath and took quite a while to get through.
Then I tried an Irwin Speed-bor spade bit that I had handy. Holy crap, that thing works wonders on plexi, as long as you've got a piece of scrap underneath. Went and picked one up in the right size for a few bucks and had my CP done in about half an hour. I highly recommend these. If you find the Irwin brand spade bits at your hardware store, the Speed-bors are the ones with the blue painted tips.