Do I have to use water with core drills?

Most definitely!

You must use water with either the sintered or electroplated core drills. This enables the ground debris to flush away from the area you are drilling and allows the drill to have easy up and down movement through the glass.

The water also helps keep the area you are grinding through cool so you don't stress your glass too much and prevents any of the ground glass from becoming airborne. We also recommend the use of a respirator and safety glasses.