I don't think that drilling out is a particularly good option unless the OP has access to proper workshop equipment. This technique is usually known in the engineering trade as 'collapsing the threads' and it requires a high level of accuracy in centring the drill. To do it well you need a pillar drill fitted with a machine vice.
Also worth noting that in the engineering trade this technique may be seen as risky, because the drill may suddenly, and without warning, pickup on the remains of the pedal spindle. Of course that may have the effect of unscrewing the remains of the spindle from the crank, but it can also lead to damaged machinery and broken drill bits. Furthermore, if it does pickup, then you risk injury, because the drilling process can become rather violent when a rotating drill bit is suddenly brought to rest or slowed down.