I've used Shift-E but i still get glitches. I need subdivision surface for my whole other part of the mesh and it works fine there. It's a weapon so I need detail.
I did it another way, i'll have to live with some visible edges.
I used another cylinder, removed the face from one of the sides, made 3 loop cuts without moving them.
Got another cylinder, 90 degrees on the x axis and stretched them to fit in the cylinder. Selected all 3 and booleaned them with ctrl-f.
After that I used the solidify tool.
Moral is: dont extrude at the end of the cylinder as it will mess stuff up.