Lego heads are a little trickier. When I want to make earrings with minifigures, I usually buy the keyrings. They are more expensive, but already have a ring on the top.
You can drill all the way through the top, bring the wire down, make a small loop, and then pull it up. With a little bit of “kraggle” (Krazy Glue), you can secure the wire in place.
Hope that helps!