Personally I like to use the "sliding door" technique.
The method you use depends on what elements you need to have round corners. Are they going to be fixed width or height? Thats the major question. If you have a fixed width, you can simply make a top image (bkg_top.jpg) and a bottom image (bkg_bottom.jpg) then put the one inside the other.
lets assume you want a 500px wide box with 10px rounded corners and a background color of #555555.
HTML:
<div id="content_box">
<p>lorem ipsum...</p>
<div id="content_box_bottom"></div>
</div>
CSS:
#content_box {
background: #555 url(bkg_top.jpg) no-repeat scroll 0 top;
padding-top:10px; /*the height of the top image*/
width:500px;
}
#content_box_bottom {
background: #555 url(bkg_bottom.jpg) no-repeat scroll 0 bottom;
height:10px; /* the height of the image */
}
The bottom div will strech to fill the content_box and create the bottom of the rounded box.
Thats just one example.
Here is another good web rounded corners