I have that exact setup currently - 40B/20g sump.
You don't "need" an overflow in the sense that you can drain to your sump with a simple hole, but it's not recommended for a variety of reasons.
#1 being clogs. Fish, inverts, and anything else not attached to rock or the tank will inevitably get sucked into the drain without an overflow. Not only can you kill/injure livestock, but you can clog your drain, which can then lead to either an overflow of your display, or running your return pump dry, or both.
There are other reasons like noise and surface skimming. Just know that there is a very good reason you don't see any tanks with plumbing to a sump without some sort of an overflow.
It's fairly easy to drill.
It's recommended you pick up a drill guide - something like this
http://www.amazon.com/Wolfcraft-452...F8&qid=1413396964&sr=1-1&keywords=drill+guide
It will make the task much easier.
You also need the appropriate glass hole saw.
I used this for my overflow hole.
Uxcell a10102800ux0124 Diamond Coating Tip Glass Tile Hole Saw, 60mm - Hole Saw Arbors - Amazon.com
I used this for my return hole.
35mm Dia Diamond Tipped Tile Ceramic Glass Hole Saw Drill Bit - Hole Saw Arbors - Amazon.com
Basically, with some plumbers' putty (or something similar), create a ring around the area you want to drill. It needs to be able to hold at least 1/4" of water. This will keep the glass cool while cutting and prevent it from cracking due to temp change.
Attach the hole saw to the drill guide, and start drilling. You want to go VERY slowly. As slowly as you can spin the drill, and don't apply any pressure. You basically want just the weight of the drill.
It should take a couple of minutes to get through. No need to rush. Not worth a cracked tank.
Put a towel or something inside the tank so that when you drill through, the circle of glass that falls out doesn't fall and crack the other side of the tank.