I came across this tip back in April at the 2008 SWUGN Technical Summit in Nashville, Tennessee.  Brad Williamson, a highly-certified (8 SolidWorks certifications! Are there any more?) Senior Application Engineer at Progression Technologies, demonstrated this tip in an Assembly presentation.

Normally, when you are in a sketch and select a face and choose "Convert Entities", the outer perimeter loop will be converted to sketch entities.  But what about interior loops?  You could right mouse click on an edge of an interior loop, and choose "Select Loop".  But SolidWorks usually gets the wrong loop, and you have to use the direction arrow to cycle through the possible choices until the one you want is highlighted.

But did you know that there is a way to use the face selection method to convert interior loops?  Simply select the face, shift-select one of the edges of the interior loop you wish to convert, and run "Convert Entities".  Pretty snazzy, huh?