A few years ago there was a "bottle cutting" fad that had people cutting and drilling holes in bottles and stuffing in a small light bulb for 120V decorative lights. Googling "drilling glass headlamps" will give lots of methods for your decorative lights.
I have used diamond coated drill bits on glass blocks , but I expected some glass breakage, and the bits don't last long.
I have seen a simple hole drilled into the thin glass and then a string of LED Xmas lights stuffed inside for mellow light effects. It glowed like a single bulb from a distance.
To keep this thread "stovebolt" related, I too wonder if LED bulb(s) can be used in a drilled hole of an old yellow glass bulb for use as fog lamps. Please let us know if you find a successful way of re-lighting those headlamps.