No problem. Your splint was either too thin, or you are a very very heavy bruxer. Continue wearing the appliance and talk to your dentist.
See your dentist. I agree with dr. Zweig. If it's really new, it is quite uncommon that there would be a hole in it. Most likely it was too thin. See your dentist and ask him or her about it. I rarely see patients actually wear a hole in their splint unless it's a couple years old. The good thing is, if it was made of adequate thickness, think of the damage you would have done to your teeth without it! good luck.
TMJ expert. Bruxism is potentially serious problem. Seek care with a TMJ-orofacial pain doc.
Hard or Soft. Soft splints are commonly used and in many cased i think too often. Many true bruxers will grind through them in a very short period of time. Hard splints are less comfortable but I have found them to last much longer. They do have a combination hard and soft guard that I have not tried yet. I would discuss your issue with your provider.