Coach:
I agree with Alan. Using a dremmel tool would make me nervous. With thin plastic 40 mils or lower I use the box cutter technique. With 60+ mils I go with the nibbler then use an exacto blade to fine tune.
If you are doing a lot of windows say for a factory that absolutely need to line up with each other and you plan on laminating the outside surface (say brick or stone etc), then the way to go is what some call the cookie cutter method. It is time consuming but works out in the end. You basically cut individual pieces of plastic and glue them together with the end result of holes for all windows / doors. This takes planning with paper and pencil but as said the end result is a wall with perfectly aligned windows. If you look closely at the photo you will be able to make out the 'glue' lines.
Joe