Work pieces and methods of forming through holes in substrates are disclosed. In one embodiment, a method of forming a through hole in a substrate by drilling includes affixing an exit sacrificial cover layer to a laser beam exit surface of the substrate, positioning a laser beam in a predetermined location relative to the substrate and corresponding to a desired location for the through hole, and forming the through hole by repeatedly pulsing the laser beam into an entrance surface of the substrate and through a bulk of the substrate. The method further includes forming a hole in the exit sacrificial cover layer by repeatedly pulsing the laser beam into the through hole formed in the substrate such that the laser beam passes through the laser beam exit surface of the substrate and into the exit sacrificial cover layer.