GMC Syclone Typhoon says "Prevent Overheating: ...you can drill a small hole in the thermostat to prevent an air pocket from forming when you refill the coolant system, thus causing the thermostat not to open."
Stant Thermostats actually sell a thermostat with a hole in it and a "jiggle pin" for venting.
Viper Club "If you are servicing your thermostat at this time, drill a small (3/32" or so) hole in the new one, which will greatly aid the first fill, as it will allow air to get by the thermostat, even though it is closed."