Depends partly how big the hole is too. For nice small ones, you may be able to get away with drilling a round hole, then driving in a square cutter, made from a piece of HSS. Just grind the end a bit so that the corners stick out a little, then line it up and drive it down the hole. This should be OK up to about a quarter inch square. There will of course be a bit of a daggy bit left in the corners.
There is a technique with a sort of triangular drill guided by a square plate.The drill has to be in a floating holder so it can get into the corners. It can’t actually produce a perfect square but is close enough for practical purposes. I haven’t tried that one myself, but it has been in hte ME more than once over the years.
Then you can make a square hole that goes right through a round piece by filing, then braze the whole piece into a round hole in the job.
regards
John