For me, the best way for small slits and rectangular holes is a Dremel with an abrasive cutoff wheel used sideways. Much like the circular saw with abrasive disk method, but smaller and easier to control. It sounds very awkward, but with a little practice I was able to control it much better than using the Dremel with router attachment (although I didn't use a guide for the router base, which would probably also work very well). Having a flex-shaft attachment makes it easier, since the flex-shaft handle is smaller and doesn't get in the way as much as the Dremel body, but I've done both.
Like you suggested, I would usually drill small holes at the ends of a slit (or the four corners of a rectangular hole), and also mark the lines I wanted to cut with pencil or sharpie. The important thing is to cut "against" the spin of the wheel, if you know what I mean, rather than "with" it--otherwise the Dremel tries to run away from you and you may cut an area you don't want to (not to mention the possibility of hurting yourself).
If you try this, definitely wear eye protection, as you need to be pretty close to it to follow your marks, and it will spit off sparks and bits of abrasive. You'll probably have to change the cutoff wheel pretty often as well, but those are cheap. I hardly used my Dremel until I started getting creative with the abrasive cutoff wheels. . .