To expound a bit on yvonne's correct answer:
Change to a UCS that has the surface you want a hole through in plan view. Draw a circle at the correct place, of the correct size. Extrude the circle to 2 or 3 times the material thickness. Change the view by 90 degrees (if you were in plan view, go to a left or front view). Move the cylinder so it distinctly goes through the material and extends out of both sides. Use the "Subtract" command to subtract the cylinder from the solid. Bingo
Since R14, ACAD has had the ability to construct cylinders without requiring UCS manipulation. Use the CYLINDER command and place the cylinder at the desired location. ACAD will prompt for RADIUS, then ask for extrusion ht. or "C" for center of other end. Enter a "C", then specifiy the center of the other end. You can specify that center using any valid method for specifiying a point, such as key-in coordinate/offset, or OSNAPping to some point, or direct distance entry.
Once the CYLINDER has bee created, SUBTRACT the cylinder from the original solid to produce a hole. SOLIDEDIT can then be used to modify the hole.
CADaver is correct.
I have had problems if the shape needing the hole is uneven, since there may not be a point to snap to, either for the beginning or ending of the cylinder, and the coordinates may not be obvious depending on the UCS.
I guess I find changing the views foolproof (for this fool, anyway!).
