Thanks for the tip on larger holes, I bought an interchangeable hole saw set at Lowe's. I'm thinking for single pieces (like the aforementioned rudder) or small sets of two or three layers I might be able to use them as hand saws, turning them backwards so the teeth cut more like knives rather than digging as a saw. If that doesn't work Then the sandwich method should, I have used that before, albeit on much harder woods.

For smaller holes (3/8" or under) in balsa I have found the best trick is to MAKE your own hole saws out of thin wall brass or steel tubing. Use a Dremel with a thin grinding wheel to cut small teeth, use a needle file to sharpen them. You can also epoxy a hardwood dowel sanded to size into the unsharpened end if you think your "hole drill" will need reinforcement for chucking in the drill.