the wood splintering on the other side is an interesting experience point. When I did wood working the same would happen. Perhaps an angled jig can be made so the entry and exit points can be made to exactly align even when drilling from both sides.
Cauterizing is another issue I didn’t consider. Any use in spraying the tree with water as I drill to prevent this?
You can use any techniques you feel will help but most probably not needed.
Fusion is only required on the 'out' side of the graft because that's where the sap needs to flow from trunk to branch. Sap will not flow from the 'in' side through the trunk and into the branch so fusion on that side is superfluous which also means that bark damage that side is of no consequence.
Drilling at slow speed is far easier than drilling under water and just as effective. Not sure what temps would cause problems or what drill speed will cause that. I just use a low speed and everything is good.
Note that internet posts will only show successful outcome giving the impression that thread grafting is 100%. I've had some failures, as have most people I've talked to who have used this more than a few times, so don't feel bad if the first attempt does not work as planned.
Use this year to grow some suitable shoots for the graft. If inarching from the same tree you need long flexible shoots that will bend round to the graft site without breaking - not as easy as it sounds. I've also pre wired and pre bent shoots which helps overcome this problem.
Prepare a few shoots in case one gets carried away and ends up too thick. Shoots that are growing too fast could be defoliated to reduce thickening.
I've found that shots from lower on the tree graft far better than shoots from higher in the canopy. I guess that's because normal growing direction is upwards and shoots heading down don't grow and thicken as well.
Good luck with the grafting.