volume sources can't be defined based on a feature because it is joined to the rest of the part and therefore constitutes one contiguous volume that the source would be applied to.
You add the volume source to a complete part (or potentially body, i've never simulated a multi-body part to know but it seems reasonable that it should let you select a body just like a part).
And to the letter of your first question yes - in an assembly with sub-assemblies you have to dig into the sub-assembly to the part level to select parts to apply the properties, it will not let you select an assembly and perpetuate it to parts. (at least not in pre-2009 releases)
Flow simulation works with bodies.
When you extrude something make sure the option "merge bodies" is not checked. You will be able to select it as a separate body.
Thanks to both of you for your quick responses. What you say makes perfect sense, I just wanted to make sure that I wasn't doing something foolish.