Here's how I do it.

1) Create a copy of the object and scale it down (You cannot see it in the picture)




In this example, I want to create a circle hole through the object. I create a circle.

2) Select the main object and boolean difference the circle. You can then see the smaller version of your object and it has the proper curvature



3) You can then shrink or grow your smaller version of the object and change the depth of the cut.





I'd love to hear from the pros on this, because I just KNOW that there is a better way.