I use it every time possible.

Only some infantry units can build and use saps.

When you go to the battle map, you'll see some covered holes in the ground. The computer places them. You don't. Select an infantry unit and hold the cursor over the convered holes. You'll see a doorway icon. Click then, and you'll see the unit run to the covered hole and start "burrowing" to the wall. It reminds me of those Bugs Bunny cartoons: "I knew I should have taken that left turn at Albuquerque."

Don't get nervous just because it takes time, and the clock is running. When the sappers are done, a big section of wall will collapse. Walk right in with the unit of your choice and take the town. Also, the infantry unit that did the sapping will appear out of the original covered hole entrance and be available for duty.