If you are using the .040 styrene as a sub wall where you will ultimately add a brick veneer on top, then:
1.) First draw out all the window & door openings on the sub wall using your drafting tools.
2.) Next use the score & snap technique to cut along all the horizontal & vertical lines - marking the pieces as you go.
3.) Glue the sub wall back together minus the window / door opening pieces (I suggest a fast setting glue like Tenax). Might need to add some splice bracing to stiffen up the wall.
4.) Final step is glue on the thin brick veneer and cut out the window / door openings from behind. This should be easy if using a brand new #11 blade and then follow up with needle files to get a nice tight fit for the window / door castings