You can go either way if you want a sump. You can drill a tank yourself and there are many threads on doing this in the lighting equipment and diy forum. You can also buy a predrilled tank. The other option like has already been said is to buy a HOB overflow box.
The nice thing about a drilled tank is that you don't have any eqipment hanging off the back of you tank giving the tank a cleaner look. If you don't already have the tank and are looking to do a sump, I would look into buying a reef ready (pre-drilled) tank. That is my opinion and my preference in the look of an aquarium, but others will have other input as well.