I bought a set of drill bits specifically for acrylic (pic). They produce very clean holes without melting or stress-cracking. Set the drilling machine to slow, light pressure only and withdraw the bit every few seconds to clear the flutes.
I also bought an acrylic-cutting blade for my little Makita rechargeable saw (pic). It's a great combination because the Makita turns the blade relatively slowly and the blade is designed to clear the swarf - so no heat build up. The resulting cut edges are very smooth and can be cleaned further with #100 sandpaper.
There is a technique called flame-polishing that produces a mirror finish to the edges of cut acrylic. It involves playing a cool (dirty) oxy-acetylene flame on the edges just sufficiently to start the melting process, but not enough to make it run. I have not had the courage to try this yet!
If all else fails, read the instructions
If it ain't broke, don't fix it