It depends. If you are drilling a pilot hole for a screw, you want to drill the size of the core, and let the threads cut in themselves. However, if you are drilling a clearance hole, for a screw to go though before going into a second piece (like when drilling though a body/neckblock), you want to drill the first piece to the diameter of the thread, so the screw can turn without biting in the first piece, thus pulling the second piece (the neck) up tight.
Geo, be carefull not to overtighten the screws on you neck, especially if they are countersunk. Driving a countersunk screw too hard is just like driving a little wedge into your headblock, and can split it very easily.