It's a sealed themostat meaning that there are no other holes besides. Drilling a hole will make it much, much easier to fill and bleed.
You'll basically have a bitch of a time bleeding air out of the system without it, causing "hot pockets" where there is no coolant. The factory one, when you pull it out, you'll see has 5 holes total: 4 in the lead pellet area and a bleed hole in the top of the offset flange (probably more of a reason why the bike runs so cold in the first place. Some hints for you when you attempt to do it:
-The thermostat you're taking out is offset. You'll have to bend the tangs on the new one slightly to seat into the housing with the seal. You'll see what I mean when you remove it. The pellet end faces the engine.
-Make sure the bleed hole is at 12:00 when you install it. Air pockets will be on the topside of the housing, not the bottom. It would kind of defeat the purpose otherwise.
-If you think you can get to the thermostat via the outer flange, you can't. I thought it would be easier undoing the nylon flange but it sits nestled in the two aluminum halves.
-You can burp the system by squeezing the rad hoses and watching air come up via the radiator cap. Running it and checking later on is definately recommended, this just expediates the process.
Best of luck!
-Randy