Advice about drilling?

I got a bed set and I have to put my headboard together and I want to do it right and have a nice snug fit but the screws that came with it won't screw in properly with it. Its the head board and i need to screw in two posts on the side and the post don't have the prepared holes for them what do I do? do I just drill into the wood and make the hole itself? any suggestions?