If you're going to drill, don't fanny about.
Little holes aren't going to save much weight, but are obviously going to reduce strength slightly. However, larger holes save more weight, without really reducing strength much more (it's more the fact there are actual holes in your rim that's the problem, not really the size, if you get me?).
I got a front Try-All rim (drilled, obviously) and I had to adapt my technique for doing stuff 'cos I was sailing up stuff 'cos the front end was noticeably lighter. Saving weight in your wheel/tyre setup is one of the best places to do it, due to the fact that a lighter tyre means less rotational weight, plus on the back wheel, what's furthest forwards? Your front wheel. Therefore, if that's lighter, you're sound :)
Standard rim tape won't be enough. However, electrical tape does the job. In my rear, I've got a rim tape surrounded by tape and it's fine. Front is just two Koxx rim strips that I got with the rim.
Personally, I find it worth doing :P