I would try an easyout or similar first, just be carefull not to snap it as you wont be able drill them out.
If you have to drill it out you will want to use a drill the same size as a tapping drill and then hopefully hook out the bits of thread left in there.
If you are lucky and can get a drill inside the threads of the caliper without damaging and then fold out whats left you'll be ok. As to the swarf it should come out as thats the way the drill works, but give it a blow of compressed air to make sure though. Best of luck.
I have some spare calipers, probably need a re-seal but nipples free. I only use the Sierra set up, so have old ones.
1979 Triumph Dolomite Sprint Highly Modified
2006 Triumph Sprint St 1050
2012 BMW 318d Touring
Personally, I've never had much luck drilling out bleed nipples. If you could get a bolt into the nipple and a couple of dabs of weld on the bolt/nipple then you might be in business.
I never try and undo bleed nipples 'gradually' as this is when they shear. I now put a spanner on them and give them a good 'whack', the one off shock is often enough to get the nipples moving without shearing.
Welding a bolt to the old nipple might allow you to use the shock tactics
Refurbished calipers in stock at TDC Spares, all bright and shiny. £48.99 a caliper inc carriage to you (exchange though, so need a serviceable unit back or it is £58.99) it is amazing how the 'old core' on calipers shrinks - get broken retaining pin holes and all sorts 'back'