There are several predominant ways but they are all work-arounds.
You can run a separate post processor that only pierces the holes:
Or you can set all of your holes basically to the size of your kerf width (+0.01), run a separate tool path selecting all of the holes and turn your amperage down on the cutter to peck or leave the amperage up to pierce. In this tool path use center compensation, and with NO lead-in/lead-out/finishing overlap/pierce clearance. (Note: You can alter your tolerance so you can use your actual kerf width as the hole size.)