For small holes (bolts), use a normal bit and run the drill in reverse. Just slowly melt through and you shouldn't have any problems with cracking.
For larger holes (buttons, joysticks, etc), first drill the wooden CP with whatever bit you'd like. Then, clamp the plexi on top of the wood and use either a pattern cutting or flush trim router bit. Routers absolutely eat plexi with no real chance of cracking it.