Had the same problem...
...and implemented the solution above: leave the blank longer than the finished hole, and cut it back after you drill. I've made several big pens now using this technique and haven't had a single blow out.
Also, I use a much slower drill head speed: around 500 rpm and I back out every 1/2 inch. Also, I've noticed that some of the slag left in the bottom of the hole tends to heat up, get soft, and then harden. So, I use my shop vac to keep sucking the slag out of the bottom of the hole as I drill.
Yes...I know. It takes me a couple of minutes to drill a big PR blank, but after having blown out several expensive ones, I decided the time was worth it.
Good luck.
Regards,
t.