Are you using 3ds MAX?
I would leave it as a seperate object. Punching round objects into flat surfaces requires either using a boolean which you have to be careful with as they can really screw things up, or you make a box with lots of sections and manually make the circle and extrude it out.
If it is an external model keep it as it is.
KISS applies to modelling, Keep It Simple Stupid.
www.military-meshes.com has a great forum and lots of help.