The easiest thing is to get Magicland's subway construction kit off the DLS. It has a portal already set up, you just have to lay the track and build the station.
Other subway tunnels need a dighole to go through the terrain. Most use the AJS Dighole (122285:1010). AJS tunnel kit portals and retaining walls help dress up the exposed edges of the tunnel.
The old U-bahn tunnels aren't height adjustable, but the AJS stations and the new premade subway stations like Cosey's premetro stations are height adjustable and can be lowered underground.
For other information, feel free to ask about specific problems.