Craftics sells tools for working with plastic.
All of their drills have 0 rake. Keeps the drill from biting in.http://www.craftics.net/ShowItems.aspx?Category=132&ParentCategory=87
Lexan machines very well. If you can put it in the drill press you have better control over the speed. Sandwiching the Lexan between two pieces of thin aluminum and drilling through the stack will give you better results and hole finish.
If you have an edge that shows, sand and polish to a good finish then give it a wipe with MEK. Experiment on scrap and you can get a really clear edge.