The hard way:
First, take the radius of the sphere you want. Then, for each z-level, use the Pythagorean theorem to determine the radius of the circle that forms the cross-section of each z-level of the sphere. Visualize the sphere from the side, and form a right triangle with one point at the center of the circle, one point at the edge of the circle - the triangle's hypotenuse is the radius of the circle. The other two sides are parallel to the horizontal and vertical axes. It would be easier if I had a picture. The equation:
Z^2 = X^2 + Y^2, where Z is the radius of the sphere, and one of the other variables is the z-level you are digging out and the other is the radius of the circle you are digging out on that z-level. Converted:
The radius of the circular cross-section = sqrt((spherical radius)^2 - (z-level)^2)
Bear in mind that all variables are in relation to the center point of the sphere, not the absolute z-level.
This will give you the radius of cross-sections. At this point, you can use a utility to draw various circles (link, anyone?), or you can do what I did and use the pythagorean theorem again to determine the outline of each circle with extreme accuracy (when you get close to the equator, minute changes between layers are easy to miss). Simply using the outline of a circle to determine the outline of a sphere will not be as accurate as this method.
This is the method I used to dig out Weatherwires' dome, but I'm sure there are far easier methods.