I keep grinding holes into mouth guard, how can I prevent this?

ENT,dentist or psych. Talk to your dentist, an ear/nose/throat (ENT) specialist, and/or a psychiatrist about your problem - until someone can help you fix it.
Different material. Mouth guard is for sports. Occlusal Orthotic, or Night Guard, is for protection from grinding damage. Perhaps your Dentist can make one for you of a more durable material. Best solution would be to eliminate grinding. May need Orthodontic treatment, anti anxiety counseling, tranquilizers, occlusal adjustment, etc. orthotic treats symptom, not cause.