you sure can do that, but every time you go through the allready drilled hole, you are reaming it ever so slightly... by using a smaller bit, and the later just drill the holes out the the correct size, you avoid that reaming effect...
with small fine thread bolts, the persentage thread-loss as a resault of this, can be catastrophic...
as for drilling all the way through the 2 plates with a thin drill... I found it much easier to go half way, twice.
you know with copper being the bitch that it is and all.... not to mention that my little drill-press is seriously starting to show its age.