Be sure to select the right tool; boss (solid), cut or surface – you cannot switch them once created.

Select existing sketch and select the appropriate extrude option.

Start the extrude tool and then pick a plane to create a sketch.

If you select sketch and move the cursor slightly an arrow will appear to allow you to create a quick extrude.

Usual depth option, use midplane for symmetrical depth, Direction 2 for 2nd direction control.

No live preview for cut

 

Bodies

By default all intersecting volumes are merged to form a single volume or body, if you untick the Merge Result option in the property manager then the volume will be listed as a separate body in the feature manager.