I've drilled through rocks too, it works great but don't try it unless you have a rotohammer. I've tried a half inch drill with masonry bits but without a lot of success.
I also have a bunch of real rock holds that I epoxied to thin plywood and then screw to the 3/4" plywood climbing wall. That way you can move things around a bit. A good epoxy is PC-8. You can buy it at almost any hardware store, home despot or wally world.
I've used river rocks for slopers, paving stones for crimpers and edges, granite counter top chips, sand stone, granite from the front yard, rocks off the beach, etc...You name it and I've used it.
I have also made "cracks" by taking real rock paving stones (2-3 inches thick), fracturing across the plane and using epoxy (PC8) to mount to plywood substrate and the screw it to the wall.
I've only had one hold fail and that is was the result of the plywood mounting board delaminating.