What is the easiest way to create, say, a square hole in something? Is there another way than cutting the object up into pieces until you have it?

Radiant tool bar
Look for the CSG tools.
Hollow merge and subtract.

don't over use it. Use the clipper tool instead when u can.
don't cut with cylinders.

Ahh I see, I just tried using the subtract, it wasn't a pretty sight haha.
I think I'll carry on using the clipper tool, thanks!