Hack for fitting 0.04" leads in to a 0.025" hole on PCB
This is a one-off prototype, so doesn't need to withstand end-user mechanical abuse.  I would probably trim the leads a bit, then set the ends of the leads on the pads, using the holes to align them.  Now use solder blobs to hold the component in place.

The leads aren't going through the holes, but the ends are sitting on top of them.  The solder guarantees a connection and holds the part in place.  The part will be held much more weakly than if the leads were going through the holes, but for testing your circuit it should be good enough.  If you really need more mechanical strength in your prototype, glob a lot of hot glue around the pins extending all the way up to the bottom of the part.

Before you forget, go into Eagle now and fix the hole and pad sizes for that part in your library.  This can be easy to forget before the next revision when you're knee deep in changing other parts of the circuit.