Er yes , you will need to drill a hole big enough for the bolt to fit in, but not too loose mind as that can reduce their ability to grip. So drill hole and put in the bolt and tighten up, that causes the wedge shaped piece to force the end open thus holding it tightly. In many cases you can then take the screw out to position your lights in your case.
Great, thanks. I realise now that the way I phrased the question sounded a bit daft! I've seen some fittings when you (I think) drill a very snug hole and hammer them in.
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