If you're making a hole in the web of the beam, the easiest thing to do is to use the "Opening by Face" tool- you can sketch an opening (in this case, a small circular hole) through the beam.
Unfortunately, this doesn't work too well for holes in the other direction, because you can't make the hole go through only one flange- it goes through the entire geometry, so it will cut both flanges.
If you want to use a void family, make sure you create a void using the "face based" family template.
Also, in the family you have to make the void cut the "dummy" geometry in the family.
An example is attached to this post:
http://forums.autodesk.com/t5/Autodesk-Revit-Structure/foundation-slab-depression/m-p/3376969#M6916
Joe
