It depends on the wood source but typically not. I had them finish a Jazzmaster 'kit' for me and I had to drill all holes (trem, pick-guard, neck mounting in the neck). The other time I got a neck from them the mounting holes were drilled.
It really just depends on where you source...Musikraft, Warmoth, USACG, Allpart, Wildwood, etc...MJT is very accommodating with the source but they do not drill mounting holes.
The kit that I bought from them had all the holes drilled prior to arrival with the exception of the trem claw and pick guard holes. All of the parts came from USACG and I couldn't recommend them enough....great quality! As for the difficulty, it's not terribly difficult but you really have to be mindful and stay as accurate as possible or you start to have things not line up 100% in regards to how close the high/low E are to the fretboard edges, string placement over the pickups, how easily the trem claw adjusts, etc... There is also the possibility of the neck pocket being a bit too snug to accept the neck. MJT just advises you to scrape the finish from the area of the neck that fits into the pocket and use some kind of lubricant to assist in installation. This was the situation for me but it was an easy enough fix. I just took a box cutter blade, scraped the sides and used saddles soap to lubricate the neck and voila! Fit great! Once again, none of this is horribly difficult but if you aren't 100% comfortable with it then I'd just let your tech do it. The first time I went through this process I learned a ton and it was great fun as well! I actually tackled all of the fret leveling, dressing, electronics, and assembly myself this last time. Of course I'm a total guitar nerd so I really enjoy this kind of thing. Have fun man!
If you buy a the neck and body from them you do not drill any holes.
I've put 3 MJT's together and they all turned out great.
The nut is probably the hardest part, and even it comes pre-notched. Get a couple spares in case you mess one up. Get some nut files.
If you haven't done wiring it can be a challenge, but you can get pre-wired kits that make it even easier.
Just have someone knowledgable looking over your shoulder.
I almost tossed a sweet partscaster away because it would not intonate, not matter what I tried. It was my first build, there is this little known measurement to us novice builders, it's called "scale length" and if it's off a weeeeeeee bit, and can screw up the ability for the bridge to intonate. My guy measured the length and noticed it was off, after a quick tweek it tuned up real nice...