A method of machining cooling holes in a component includes the steps of inserting an electro discharge machining guide that houses an electrode into an internal cavity of a component, and machining a cooling hole into a wall of the component with the electrode. A gas turbine engine component includes first and second spaced apart walls providing an internal cavity. The first wall has outer and inner surfaces. The inner surface faces the internal cavity. A cooling hole extends through the first wall from the inner surface to the outer surface. The cooling hole includes entry and exit openings respectively provided in the inner and outer surfaces. The exit opening includes a cross-sectional area that is smaller than a cross-sectional area of the entry opening.