1.This is a polygonal extrusion without capping.

2.To cap the extrusion we have to select the surrounding edges of the hole,it could be done for several holes at the same time.Here, I have selected the bottom and the upper edges where my caps will be.

3.Then press CTRL+D to duplicate that edges, and from the "SELECT" menu use "Select Adjacent / Points" to convert the edge selection to points.

4.Now use "Modify / Poly. Mesh / Dissolve Components" to create the caps.And Thats All now our polygonal object have two pretty caps.

5.Try this in something like this and then apply a mesh subdivision , it works pretty well.

Download Cap_Holes Script.Make the edge selection and run the script . Or use the XSI Netview to do a "drag and drop" install from here:Cap_Holes Script