Three ways I can think of:
1. Adding the hole at assembly level with option propagate to parts selected. One feature and one sketch to handle.
2. Create hole in one part and use that part hole sketch to locate holes in other parts using in-context relations (editing the parts in assembly).
3. Create design library feature and add holes to all parts using that. Make sure you select "Link to File" option on. So editing the main library feature would update all parts where this is used and have the option link to part selected.
I vote for Deepak's suggestion #1.