I figure there is something like I select the 4 sides and then say connect or something like that.

If you have an opening which would otherwise satisfy the above conditions, you can force SU to heal that face by tracing any of the edges from end point to endpoint with the line tool (i.e.

If this doesnt create the face, eitherboth of the above conditions are not satisfied.

To test if the edges are coplanar for instance in case of a rectangle, draw a diagonal line and if theface fills, probably this was the problem.

You can also go to Window Styles In model (the little house icon) Edit Edge settings and at the bottom, turn edges to be displayed color by axis to quickly check out the culprit line.

To add to Gaieuss post, the lines must also be in the same context.

For example, if 3 lines of a rectangle are in a group and the fourth line is outside the group, even if the endpoints are connected and the lines are coplanar, the face will not close.

As for drawing curved surfaces like screws, you need to approximate them with a serie of faces that are all connected by common edges.

If you show the geometry that is normally hidden, you will see that the cylindrical face is composed of rectangles that are arranged in a circular array.

Each of the edges that are common to two rectangle is smoothed.

Search the forums for screws, helix, spiral, etc.

Sketchup Fill In Curved Surface