If it were me, I'd attack it slowly from the back of the part with a Dremel and a cylindrical cutting bit at low speed, thinning the material more and more till you can punch the plastic out from between the fins like it was paper. If you're delicate with it, you'll be able to thin it without melting it, and it'll not only be easier than using an eXacto knife and drill, it'll result in thinner fins that look more realistic and which will let through more light.