search for right tool

[Polly]

Yes, diamond drill bits are the right thing.
Next you need to be drilling with the item (and end of the drill) under water so everything can cool off.  

You'll need to drill partway, and pull the drill back up, let the hole fill with water, drill a little further, pull up, etc.

You might want to rest your shell on a piece of that not-exactly-styrofoam that is used for Christmas ornament crafts.  Keep the shell and craft foam(?) under water the whole time.

It will take a bit of practice, and some will still crack even once you have this method perfected, but you should have much better luck this way!

[quicksilver]

It is also important to drill shells in water so you don't create any dust - inhaling powdered shells is very toxic.

[Carol]

Have tryed dimond dremel bits and the shell cracks and splits. Have tryed small steel bit,s same results. Any idea's ?

[Metalman]

Polly has there - water cooling will be the key.  I use a small cake tin, about an inch deep to put some water in. Support will be important, a bit of clay might be the way to go for that.  Also - if you have a variable speed Dremel tool, run the speed up fairly high and let the drill work, meaning don't push too hard.  Slowly let the drill work into the material.  I drill a lot of glass this way.  Another thing to watch out for is changing the angle of the drill. In brittle material, if the drill angle changes, the material will break.
Good luck with it.