SantiagoNucete The filter wheel i bought has no holes for the screws i see are being used to attach the OAG to the filter wheel.
The filter wheel that you bought is not meant to interface with the OAG that you bought. Knowing that, your delaer may be able to swap at least one of the items with you.
You can halfway salvage the situation by interconnecting the filter wheel to the OAG by using threaded M42 "spacers." The two probems (if they are not already obvious to you) are that (1) the OAG's "camera angle" may not end up perpendicular to the long edge of the rectangle of the sensor (that is the prefered position to minimize shadowing by the prism) when the threads are tightened. And (2) unless the spacer is no thicker than one mm or so, you may not be able to achive focus on your main sensor and your guide camera sensor simultaneously. I.e., your guide sensor might be too much closer to the objective lens than your main imaging sensor, to be adjusted.
So, your drilling solution is perhaps the best if you have the proper taps. Remember that the mounting holes need to be tapped at the EFW end.
Take a look at the mechanical drawings of the larger EFW from ZWO to see what the hole patterns and size should look like. And double check with the mechanical drawing of your OAG.
Chen