Castellated holes are the half-holes on the edge of a PCB. This is common for little PCB modules, such as this: 

Defining castellated holes in your design is easy. Simply drop the center of any plated through holes (vias) directly on the border. Make the hole diameter at least 0.6mm and make sure the edges of any two holes are at least 0.55mm apart. Speak with your PCB fab if you need holes smaller than 0.6mm. 

Be sure to mention castellated holes during the checkout process and put a note in text in your Gerber files.