[rant warning]
In my opinion, preselection of a face is almost always the proper way to begin. Unless this has changed for 2008, if you don't preselect a face the hole location sketch is a 3D sketch rather than a 2D sketch on the face. 90% of the time or more, all the holes in a given hole wizard feature are going to be in one planar face. Any construction geometry required to properly constrain the hole locations should be in the 2D hole location sketch of the hole wizard feature. All too often I see users create a sketch with construction geometry to that defines hole locations prior to beginning the hole wizard. They then define the HW options, and then place 3D sketch points coincident with the points they created in the previous sketch. This causes an extra, unneccessary sketch feature floating out in the design tree by itself. Alternately, creating construction geometry in a 3D sketch has its own difficulties, as all entities must be constrained in three dimensions rather than two. Also, to add or remove a hole the user must edit both the hole location sketch and the hole wizard feature. I have submitted an ER to allow pre-creation of a hole location sketch. That would allow the user to create the hole location sketch with all its construction geometry, etc., then click the hole wizard button to define HW options. Every sketch point in the pre-created sketch would then be used to create a hole. I've tried to find a way in the API to make a hole wizard feature reference a different or pre-defined hole location sketch, but to no avail.
Sorry, long day for me too.