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Ooh that's what it's called right. The cylinder should have higher poly/subd modifier is it? That'll fix it?

From memory the default cylinders should be round enough on their own if you smooth shade them. You can also use the uv sphere (which looks rounder). It's your base mesh that will need a high polycount and/or subdivision surface modifier to make sure that the hole is round enough.

Oh, so that was it.