A door or window is a special object in Sweet Home 3D. You have to create a Furniture Library and add your model to it.
You need the Furniture Library Editor to create a Furniture Library or to add your model to an existing library. In the Furniture Library Editor you can change the property "Door or window" to indicate that your model is a door or window that should snap into a wall and create the hole.
Import the library in Sweet Home 3D (menu->Furniture>Import furniture library) and your door will appear in the catalog. Now it will snap into the wall and create a hole.