How can I first make a plane on a curved surface then apply a sketch onto that plane? (which will then be extruded)
1) You can make a 3dSketch and then use splines on surface tool (red worm).
2) Or make a work plane, sketch there and project to curved surface (slot).
But I think You can not boss the new geometry since it's not planar. You can sweep and make some of the lofts with it.
Can You attach sample photo of geometry You are looking for. I help You if I can.
3) Boss the planar slot. Use the curved surface as a split.