I had to drill pilot holes into the back of my M22s when I got my Full Metal Brackets because they don't have mounting holes. I don't remember the exact kind of screw I used, but I know they're fairly fat with coarse threads to minimize the risk of stripping the MDF.
Like these fine gentleman have said, if at all possible, you should avoid adding holes to your speakers; however, if the best mounting option requires it, you should know that it won't be a problem. As long as the screw fits tightly into the hole, it will not negatively affect the performance of the speaker.
