Creating holes


I’m just wondering how I would go about creating circular holes in an object.

Say I wanted to make circular holes in an object.

I thought this is how it would work:

I would add a cylinder, extrude it so it goes through both ends of the object mesh. Then go to object mode, select the object and the cylinder(s), press w and then difference.

but that doesn’t work at all… it just seems to add faces of a cylinder and sticks it onto the object mesh.

Any help is appreciated.