Mill, drill, and tap a socket

[PixMan]

A standard off-the-shelf hex socket is going to be forged high-alloy steel, and hardened. You would not easily be able to tap it, and even drilling it would be best suited to solid carbide drills. There are solid carbide taps for hardened materials, but they are un-Godly expensive.

I would do as you did, though using solid carbide 4-flute end mill or carbide insert cutter. Carbide inserts for turning and boring, though I might grind off any chrome plating before starting.