The difference between these clam shells and the ones used to make real wampum jewelry is that the quahog clams used for wampum are much thicker than regular chowder quahogs. 

I drill holes in the shells - though you could also wrap the shells in wire if you can't drill them.  If you do decide to drill, wear a mask and drill underwater.  I've heard conflicting reports on whether breathing shell dust is bad for you or not, but I'd rather be cautious!

I use a coiling gizmo or a knitting spool with copper craft wire to make the ornaments. 

The Econo-Winder Coiling Gizmo by LeRoy Goertz makes two sizes of tight wire spirals and the spirals combine to make a sturdy bead or ornament top.  I use two weights of copper wire - 28 guage and 22 guage, and vary which size is the inner spiral and which the outer.  The coiling gizmo comes with good instructions.  You can find it on eBay, in craft stores, or from the manufacturer.  It is a splendid gizmo and the ornaments are very quick and easy to make!