Add to what vengence said... (expand upon 1 & 2)
1.) Create the ship (i've already got a cockpit tub built)
2.) Position the tub where you want it
2.) Carve the cockpit like a pumpkin so that the cockpit fits in
3.) Attach the cockpit tub to the body (if your using symetry, make sure you have both sides of the hull there)
4.) Join the vertices from the tub to the cockpit (otherwise you'll have slivers showing)
5.) Detach the cockpit tub from the hull.
As for glass you can use simplier mesh and for cockpit frame, I've gotten lazy and instead of cutting the glass to fit it, I just wrap the frame around the glass (two seperate objects)
Edit: Oh and for lodding... simply delete the cockpit interior, possibly the frame and replace the glass texture with a non-transparent texture like solid black)