I assumed that's what most would do and I assume it's easy enough to accomplish.
One of the anode suppliers noted there was a stainless steel nut embedded in one of the halves. That would be a bit tougher drilling. Do you recall what size of drill bit was used?
I am also wondering how the electrical connection is made. Is it through the stainless bolt and the metal sleeve in the rudder? Or is it contact between the end of the sleeve to the anode? Both of these seem less than sure things and would warrant a bit of 1000 grit wet dry paper to improve the electrical conductivity.