It's important to use Wall Styles. You can store Wall styles in your library, making…
Vectorworks Tip #104 – Walls – Wall Projection
Sometimes you need to add a 3D part to your walls. An example of this might be a fireplace or chimney. This is when you should use the Wall Projection from the AEC menu. This command allows you to add 3D models to the wall, but it still acts like a wall. If you insert a door or window, it can be inserted into the wall projection.