The only way to get real holes in the board is to but holes in the board outline as it is now. See below from Beta forum. Maybe in a future release we will get this
Will export of component holes be supported in a step export in the future? Will export of traces/copper be supported in a step export in the future?
Not at this release but I will enter ER for this to make sure it is in the future road map.
Regards, Yan