Your premise that it is illegal to deface coins is wrong. As the U.S. Treasury, Department of the Mint (which is the agency that makes U.S. coins) explains in a FAQ page:
Section 331 of Title 18 of the United States code provides criminal penalties for anyone who “fraudulently alters, defaces, mutilates impairs, diminishes, falsifies, scales, or lightens any of the coins coined at the Mints of the United States.” This statute means that you may be violating the law if you change the appearance of the coin and fraudulently represent it to be other than the altered coin that it is. As a matter of policy, the U.S. Mint does not promote coloring, plating or altering U.S. coinage: however, there are no sanctions against such activity absent fraudulent intent.
So unless you are defacing or altering the coins to commit some kind of fraud, like for example trying to the coin appear as one worth more than it really is, the alteration does not vioalte federal law. So if you want to take some pennies, drill a hole in them and string them together as a necklace, go for it. That is not illegal and no cop is going to arrest you for wearing the necklace.
I would recommend you not attempt drilling the holes at a police station for the reasons cdwjava points out. And it would be totally pointless anyway.