A even better way to put holes in nylon is to use a thin soldering iron. You can get them ultra cheap. They maintain a consistent heat and you just slide them in and slide them out and presto, you have a hole without having to heat up a nail with a torch.
I've always just taken a nail, held it with pliers, then allowed the nail to heat up over a regular electric stove element set to high. Wait until it's red hot, then puch your holes as desired.
Soldering iron sounds easier though