The extractor at the above link will only work if it's a mild steel bolt. Even then, if it's in there tight enough to break the head off the bolt, why would a more brittle pice of steel 1/3 the diameter solve the problem? If it is hardened at all, you'll never get a hand drill far enough into it to do any good and you'll probably round out the area beside the bolt as that's where the drill willl want to go. Or the extractor will break off in the hole and you'll never drill that. In my experience, the extractors cause more problems than they solve (net). Do you have any bolt sticking up or did it break off flush or below? What's around it? Any plastic parts or hoses or stuff that a torch would damage? Do you have a pic? Post some more details and I may be able to suggest a few things...
1982 Mercedes-Benz 300CD
1982 Mercedes-Benz 240D - stick