Hi,
In answer to your question - no, you can't cut out things from objects with thickness. All the thickness property is is giving vertical height to 2D objects, giving them a 3D look. Try drawing a rectangle and giving it thickness, then shade the drawing (View >> Shade >> Gouraud Shaded) - you'll notice that only the sides have surface to them, not the top. That's beacuse you've given a height to a 2D outline object not a solid shape..
If you want to create 3D walls and cut holes in them you'll have to create them as solid entities - If you want to know how, please feel free to email me (address below) and I'll write you a detailed how-to on what you need to do. Then, if you want, I'll email you my mobile number (if you're in England) and I can run you through how to do it over the phone..
I hope this is helpful and don't forget, email me anytime on other AutoCAD related Q's or keep using this forum..
Cheers,
Paul @ basepoint designz..
basepoint designz
renegade@tiscali.co.uk