A window or door in an existing wall can be air sealed to a certain extent, in some cases greatly improving its ability to resist airflow.
Before you cut into any walls or ceilings, make a good investigation of the building and its openings. A thermographic camera can reveal a lot and, if you can get one, a smoke pencil can help identify leakage areas.
When you're ready to start into the project, here are some important considerations:
Air sealing the unit in rough opening - With a bit of careful knife work, you can pop off the interior casing of the window / door, and see what's going on in the rough opening.
Carefully cut around the casing, through paint or caulking, to minimize the damage.
If there's a need for air sealing, apply some low expansion spray foam insulation.
Apply painters tape around the opening (over the existing drywall or finish) BEFORE you spray foam. The foam will expand out of the opening.
Make sure to clean the gap before you spray.
Caulking around the unit - Sometimes, you can create a good air seal just by applying a bead of caulking.
Use interior silicone caulking around the trim and frame of a window or door, filling in any gaps under 1/4"
Keep rags around for cleaning up excess caulking
Have a container of soapy water close by, to dip your finger in when you 'smooth out' the bead of caulking.
Weather strip moving parts - Older windows and doors may just be in need of new weather stripping.
If you are able to remove the unit from it's frame, you can sometimes slide the old weather strip out and replace it.
Install neoprene or vinyl weather strip on the frame itself, being careful not to interrupt the closing action of the unit.