The simplest way probably is to place a Penetration with the appropriate sizes as you had mentioned. By default it should align itself with the face of the wall or slab, but yes, you would still have to position the XY location to match where the duct interesects.
To aid in this, or possibly as an alternate method, you can use the Planar Slice tool, located in the Surfaces > Utilties toolbox. This tool will generate generate geometry representing the intersection between two elements, which can then be used to position the Penetration or even create a cut/opening.