Here is a video I found that shows how to do it, what precautions to take, and what bits to use.
Here is another article about using the Dremel to cut glass.
Hope this is helpful, and remember to always keep safety first. If your not comfortable doing something it's ok to ask for help!
I also want to send a huge Thank You to Rachel at One Pretty Thing and Cassity at Remodelaholic for featuring my wine bottle pendant lights and technique to make your own T-Shirt. Thank you!!