Z Axis
While 2D shapes are made from sheet material, 3D shapes are more intricate
shapes made from block material. To create 3D shapes you draw 2D shapes and add
various "Z" values to lines - the distance the material will extend
perpendicular to the 2D drawing. Z values are set in the Z control of the numeric bar (located just below the main toolbar):

The examples below are shown with inch Z values. For size
reference, the outer dashed square is 4 x 4 inches. The 2D drawings with the indicated
Z values result in the 3D shapes shown to the right of each drawing.
Below, the square is 3 x 3 inch. A Z value of 1 creates a block 3 x 3 x 1:

Now let's add a second positive Z value and two negative Z values. Notice
that positive Z values create protrusions and negative Z values create recesses:

Z values can also apply to more intricate 2D shapes:

A simple 5-side box:

Z values can apply to shapes drawn in side views also. Here we
select menu View | Front, add two circles and apply Z values:

Air Inside
To cut fully thru, set the Z edit control to "Air Inside".

Setting Z to Air Inside in a side view creates more capability. For example see the Pipe Spacer.

It is not recommended to use the Air Outside feature which will be removed in an upcoming version.
Minimize Z
When designing a part, try to use Z for the smaller dimensions. For example, a rectangular block 1 x 1 x 2" could be drawn in the Top view with a 1 x 1 square having Z set to 2 or a 1 x 2 rectangle having Z set to 1. The second way is preferred and will often result in lower cost. In some cases it will be necessary to minimize Z to resolve errors.
Advanced tips
See also the Revolve
feature of the Z control.
For drilled holes, the Z measurement is taken from the end of the cylindrical
portion of the drill bit, not the tip of the conical portion.
For threading features, the Z measurement applies to the thread depth/length and must be positive both for protrusions and holes. Use the Maximal setting to get the maximum thread depth/length value permitted by standard tooling.