1. Using pad: don't forget to set unplated. You can use any name you like. Typically '0' for mechanical holes.
Note that pad names are paired with pin names, so if you only use counting numbers for pin designators, they'll only connect with counting-numbered pads. You can always edit the pairing on the Pin Map dialog.
2. Using regions: place a board cutout region of the desired shape. Preferably also copy its outline to the board outline layer, so it shows up on the drawing.
Example: draw the outline on Mechanical 1 (or whatever the board outline layer is). Select the primitives. Tools, Convert, Create Board Outline Region (T, V, B).
#1 only allows round or slot holes, or I guess more complicated shapes using the pad library.
#2 allows arbitrary shapes. Mind to leave an inner corner radius, and minimum slot width, corresponding to the minimum endmill size used for the operation. Typically 1mm radius. Smaller radii are available, but the board fab will charge a premium as smaller endmills work slower and have shorter lives.
Tim