In the shop, we used to use a giant rubber o-ring to act as a 'dam' to hold the coolant, but you can also use some putty.
Here is a link I've kept around for diamond bits at reasonable prices:
http://www.shopsmartxpress.com/AmeriGls/W9.htm
Also take a look at your glass, if it's tempered, it can shatter if you are not really really good with the drill.