The most common is to use a masonry bit..
for larger holes a diamond hole saw would make quick work of it. I have use mine to cut holes in granite tile, a clay pot would be easy breezy.
I made them using this article from Bird & Blooms as inspiration but did not post directions (hope to do that in June when I retire and have more time on my hands!) http://www.birdsandblooms.com/Backyard-Projects/Birdhouses/Flowerpot-Birdhouse
Are you referring to the terra cotta bird house by @All Things Heart and Home? http://www.hometalk.com/1285009/diy-bird-feeder-from-a-flower-pot
@Charli Soak the terra cotta over night in a bucket of water then mark your holes and use a masonry bit to slowly drill the holes. If the bit gets too hot dip the pot in water or if you are using a battery powered drill, dip the tip of the drill bit in water to cool it down. It is a slow process but it works! Good luck!