In one of the more useful enhancements, users of Solidworks 2009 will now have an option to propagate assembly cuts down into the part. Here is how you do it:
Start with your assembly. Lets add a rectangular cut through one of the oval parts, through the square brass part.
Next you sketch on a plane, face, etc, just create a sketch, and start an extruded cut:
In the extruded cut property manager, you need to select a new option highlighted below:
By checking "Propagate feature to parts", that will add the feature to the part. Now open the part, and you should have a feature added to your part:
You will notice it is a derived sketch, with an external reference back to the assembly. In the assembly, the feature will show up in the feature tree: