Maclady's approach (just enclose it, don't drill through it) is the best, IMO. Sometimes you can find types of molding that already have a suitable thickness of rabbet taken out; it's worth cruising the molding section of the store if you don't own a router,anyhow, see what your store has. You need WOOD molding, not mdf and personally I'd stay away from the fingerjointed wood molding too (solid wood is best).
If you're going to screw thru it, which is certainly quite doable, then yes, plexiglass must be predrilled. Be sure to drill the holes a little wider than the THREADS of the screws (this is different than drilling pilot holes into wood, where you'd size the hole to just the *shaft* of the screw) and be very, very gentle with your drilling. It helps to stay an inch away from the edge of the plexiglass. Then when you screw it to the wood, don't tighten the screw down too much, you can use a rubber washer or just be careful.
Or, you can use clear plastic roofing panels if you don't demand great optical clarity -- do use the wavy filler strips, and follow installation instructions regarding predrilling and using the right fasteners, but it's real easy. Even the cheap PVC (Palruf, etc) panels are "not so bad" if used for WALL lights rather than roofing -- they are still not that temperature-tolerant or long-lived, but because they won't be exposed to much wind or (hopefully) to hail when they're being used as window panels, their brittleness and short lifespan isn't so much of a problem, and they *are* cheaper than the polycarbonate. I mean by all means the polycarbonate is *better* but while I'd really pretty much discourage anyone from using pvc for roofing I think it is a legitimate tight-budget option for WALL panels.
JMHO, good luck, have fun,
Pat
