A method for accurately sizing and forming the cooling holes of an air-cooled gas turbine engine component on which a protective diffusion coating will be deposited. The method generally entails drilling a hole in a surface region of a substrate, and then measuring the thickness of any recast surface region surrounding the hole and created as a result of a portion of the surface region having melted and then resolidified. The thickness of the additive layer of the diffusion coating that will deposit on a corresponding recast surface region of the component is then predicted based on an inverse relationship determined to exist with the thickness of the recast surface region formed during drilling of the cooling hole. An appropriately-oversized hole can then be formed in the component so that, after depositing the diffusion coating on the component, the additive layer grows sufficiently within the hole to yield a cooling hole approximately having the required final diameter.