This was another of those "everybody knows that, so nobody documents it" things I found when doing the loco.
I made mine just a little differently-- I made a thick washer and cross-drilled it for the steam pipe (which I silver-soldered in, but don't do that until later).
Then I turned up the bolt-- turned the shank to a close fit to the ID of the washer, threaded it, then (as Kevin says), blind-drilled from one end up to close to the head. Over to the mill to cross-drill through to connect with the blind hole. Back to the lathe (Note to self: get to work on lathe-cross-drill attachment) and the parting tool to put a shallow groove around the bolt at the cross-drill so steam can circle around to the steam pipe, wherever it may be. Part off and done.
If you make the un-threaded part of the bolt a close fit to the ID of the washer before cutting the groove, especially if you leave a bit just under the head of the bolt before the groove, it helps with sealing later on. If you plan to O-ring, account for that extra space as well.
While my way has the advantage of easier construction since you don't have to go undercutting a washer, it does make the bolt considerably weaker. A small, grooved, cross-drilled, hollow, brass bolt is not a robust thing, so no horsing on it.