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Bricks are not the best thing to drill into. They can have voids in them and are quite brittle. Bricks can also pull out of the wall. In fact whole walls have been known to topple over. Take for instance people who put up basketball hoops over their garage doors. More than one of those has killed kids doing slam dunks.

You should drill through the bricks and attach the structure to the frame behind the bricks. If it is double brick then drill through both skins and fit a large backing plate to the subsequent bolt as a large washer.

As for river rocks, the key here is to keep the drill bit cool via water.

If you are merely wanting to fit holds directly to the outside of your brick wall then simply drill and fix the holds on. Step one is drill the brick. Step two is fit a drop in anchor. Step three is bolt your hold onto the wall via a bolt through the hold and screwed into the drop in anchor.

If you do not know what a drop in anchor is then simply ask at a dedicated bolt shop such as Coventry Fasteners.