I suggest a simple carbon steel. And I suggest using only new drill bits, unless you know how to sharpen your own. All my pin holes are 1/8", and if I can't get through the steel with a newly sharpened bit, I use a carbide bit used for tile cutting with the Roto-Zip tool, available at Home Depot. It will go through a new file. Use gentle pressure, clear the hole frequently, and it is good to use a light oil like WD-40 for a cutting fluid.
Drilling your holes before heat treat is a little risky, because they might be in the wrong place when you're ready to put on the handle slabs.
I heat treat, then torch draw the whole tang, whether full tang or hidden tang. I heat all the way through the heat colors to grey, and run the colors into the ricasso. Relieves all the stresses from hardening, and usually will make the steel easier to drill. My experience with this is limited to carbon steels, and I think all of them will work well with this method.
First knife? Get an old file that is big enough,grind the teeth off so you can see clean, bright steel, clean all the old oil and grit from it, wash it thoroughly with a good dish washing liquid, then bake it in the kitchen oven at 425-450 degrees for an hour three times. (You might get to do this again if you don't stink the house up with the oil smell.)
Take a good look at the color of the oxide on the steel. You will need to remember this color so that you do not heat the steel past that color while grinding.
Then grind carefully, dipping frequently in water to keep from softening the steel.
This will make a good knife. Most of us old timers started making knives out of files. They are usually made of W-1, W-2, or something quite similar. They have about 1% Carbon, and are used for a lot of rough work. They will make tough knives that will hold an edge well, and will be easy to sharpen.