This is a T-Nut:
Awesome, right? It's a threaded barrel with a a flared collar on one end, kind of like a T. The collar has four prongs on it.
To install it we'll use a highly advanced "Specialized T-Nut Installation Tool" (S'TIT):
I'll sell you one if you're interested. It's very specialized.
To begin with, we'll insert the S'TIT into our hole of choice. Each full sheet of plywood on my project has 100+ holes so we've got plenty to choose from. Oh boy! The bolt goes in through the climbing side of the wall, just like a hold.
Like so. Then we go around to the back of the wall...
...and thread the T-Nut onto the protruding bolt, prongs down. Installation of the T-Nuts requires access to the back of the wall, which is why I'm doing it now before assembling the thing.
The T-Nut is screwed down as far as possible by hand. The prongs end up resting against the pristine and defenseless wood.
From the front, the finished hole looks like this. Now you can bolt a hold onto the hole and tighten it into the T-Nut; the nut provides thread for the bolt and the prongs sunk into the wood prevent the nut from spinning. The major advantage here is that you don't have to have access to the back of the wall to change out holds.
And that's that! Repeat this process a few hundred times and you have a wall ready for holds. Beer is recommended for this process. No blood was drawn... this time.