Anchors & Brick Veneer

Hello,
My home has brick veneer. This veneer also has hollow areas in it. When installing lead anchors, is it best to drill through the mortor joint so that the anchor will expand between two bricks? The first couple of times that I drilled through the brick, the hole was too close to the hollow area, that when I inserted a screw, the hole collapsed into the hollow space and the anchor was useless.