Wag drilled holes, we're told, in this box material (9)
I believe the answer is:
cardboard
'material' is the definition.
(I know that cardboard is a type of paper)
'wag drilled holes' is the wordplay.
'wag' becomes 'card' (both can mean a humorous person).
'drilled holes' becomes 'board' (I can't explain this - if you can you should give a lot more credence to this answer).
'card'+'board'='CARDBOARD'
'we're told in this box' is the link.
I am not very happy about this link. Some or all of it may be part of another bit of the clue.
Can you help me to learn more?
(Other definitions for cardboard that I've seen before include "stiff material" , "without substance" , "A stiff thick paper" .)