I tried drilling into a piece of live rock with a bit designed for ceramics. It was too easy.
I am not sure if acrylic would be the solution but nylon rod would work out great with plumbers epoxy to hold it together. I don't think the epoxy would stick as well to acrylic and especially not teflon or delrin. It might be nice to sort of groove the rod a little to give the epoxy a chance to bite.
Also, I am not sure if it is strong enough but they make those PVC risers for your sprinklers that cost maybe 20 cents with the threads on both ends that would make great little inserts as well.
That stuff is dirt cheap at
www.mcmaster.com or for the risers visit the orange or blue apron place.