Yes, what you describe can be done fairly easily. I'd recommend opening the player and removing the top lid, then drilling your hole in the lid with it removed from the player (after carefully marking the desired location). That way you don't get any shavings inside the unit.

Alternatively, you could do something with the security slot. It's just a little rectangular hole in the back corner of the player, designed to insert those laptop-style locking devices.

However, there are some things you need to consider:

1) The serial port must also be accessible in the car so that you can perform software upgrades on the player.

2) The serial port, when docked, runs at a slower speed than it otherwise would, possibly making upgrades slow. I think this can be resolved by editing config.ini, though.

3) Environmental conditions. In extreme weather, you should protect the hard disk from failure by removing the unit and keeping it in the house.

But all in all, the real root of the problem is the idea that you would want to leave it in the car at all. No matter how well you screw it into the dash, if a thief wants it, he'll get it. Whether or not you made the process troublesome for the thief doesn't change the fact that it was stolen and your car was vandalized. Remember that the thief would have no idea that the thing was screwed into place until after he broke your windows and took a crowbar to your dash. If you screw it into place, you might come back from dinner to find an Empeg that was completely ruined by crowbar attempts.

And then there's the problem of convincing your insurance company that you really screwed it into place... You might go to all this trouble only to find out that it's not covered anyway.

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Tony Fabris