Simon,
I'm relatively new also and have ran into the same issues. From what I have experienced the only way to do this is by trimming the surfaces, thickening them to form a solid and then using a fillet for the blend (assuming you're using SW '05 or '06.)
I believe now in SW '07, SW has added that blend feature along with a few other more advanced surfacing techniques.
As stated, I'm new so there very well may be a way to do it but I have not figured it out either.
Good Luck!!