I drill a ~1/16th hole near the edge, then install the thermostat with the hole at the top just to aid in getting the air out of the system. I've never actually bothered to time how long it takes with or with out the hole, so I have no actual proof of anything =P but when filling the cooling system it does give the air a place to go as the coolant fills up the block.
I drill a hole (1/16" I believe) close to the outer edge - you'll want to put your thermostat in the housing and see how far out you can drill the hole. When you install it, be sure the hole is at the 12 o'clock position, so any air pockets can migrate through. EDIT: some thermostat manufacturers drill the hole and install a copper "bobber" pin in the hole.
While you have the thermostat out, you might want to test it to be sure it opens at the prescribed temperature.
Well guys I have been keeping track since i drilled the hole in the t-stat and it looks like temps have dropped 10-15 degrees :beers2: depending on driving condithions and my overflow bottle stopped overflowing
This unfortunately should be done with new ones as well. I've had a couple bad ones (Stant brand) right out of the box. The misses candy thermometer and a pot of boiling water with a bit of salt (salt to raise the boiling temp)