So what do you guys do?

The bases I got didn't come with precut slots for the horses. Should I a) cut the slots out from the bases and insert the horses? or B) remove the niches from the horses and glue them on the bases?

This is what I´d do and have done :). Much easier.

Same here. Well, I haven't done it, but due to cock-ups I've had to do it with other models. So, yeah.

If the horses are plastic, cutting the niches is the way to go.

But for my Green Knight, with his metal horse, I had to cut the slots of the base.

Looks like everyone agrees. Thanks!