Keep in mind there's more than just a little hole.  The female bores a channel in wood from 6" t 4 feet to lay their eggs.  She lays an egg, then brings a mass of pollen for the larvae to feed on.  She seals it up then lays another egg, on and on.    We've had further damage from woodpeckers going after the larvae.   You can use insecticide, foam the holes, on and on.  Best results we've had come from prevention.  

We only seem to have problems with one open sided building.  I've used everything from brake cleaner to restricted use insecticides.  I've puttied the holes, filled them with expand foam, on and on.  The best results I've had is from trapping them.  I got a couple bee traps from best bee brothers.  Since I put them up we've trapped a lot of bees.  I realize that isn't socially correct these days, but neither is letting them damage our building.