Those antennae serve as balance, actually—counterweights to their bulky horns. Don’t let this alarm you, though; you can still absolutely adorn them with jewelry and not harm your mawile.
The problem lies in the fact that they’re difficult to pierce. After all, they’re actually reinforced with organic metal (the same sort that causes mawile to be classified as a steel-type). It may be a good idea to create a clip-on earring for your mawile or a clip that otherwise resembles your earring instead.
Best of luck!
The Pokédex According to Bill 