Q:

Do faster moving projectiles make larger penetration holes?

When it comes to shooting guns, a bullet of a certain size will make a certain size hole in the paper or wood target.  
A $.22$ bullet makes a pea size hole regardless of if its shot out of a pistol and going $300$ m/s  or shot from a rifle and going $800$ m/s.
Does this continue as you increase the speed?  Will a $.22$ bullet going $10,000$ meters a second still make a pea size hole in a paper target?
What if it was going a fraction of $c$? 
Does this change if you exchange the paper target for a metal plate?

A:

That is very interesting question. 
At relatively low speeds (1-2 Mach) and light targets amount of heat generated during impact is negligible, hence bullet just shears piece of target and goes on flying. Heat is dissipated and does not cause additional damage. 
At higher speeds, and metal targets - amount of heat increases dramatically, generated heat is enough to vaporize part of target as well as bullet (even at Mach 2 impacts you can see a flash of light at impact), and shockwave from this vaporized target and bullet rips everything around. 
Another effect I've heard is that during high speed metal impact - electron cloud could be displaced inside the metal and increase the damage, but I cannot find a reference. 
You can see a video of this Mach 7 impact and embrace the amount of heat generated during impact: https://www.youtube.com/watch?v=i737rM6FxqE
So you don't need relativistic speeds to see fun impact effects. 1km/s impact speed already change alot. At 7km/s damage becomes spectacular: https://www.esa.int/spaceinvideos/Videos/2018/02/Hypervelocity_impact_testing . This speed range is studied in the context of shielding of satellites from micrometeorites, which can have up to ~50km/s impact speed if you are lucky.

