We present a new method of realizing single nanocavities in individual colloidal particles on the surface of silicon dioxide artificial opals using a focused ion beam milling technique. We show that both the radius and the position of the nanocavity can be controlled with nanometre precision, to radii as small as 40 nm. The relation between the defect size and the milling time has been established. We confirmed that milling not only occurs on the surface of the spheres, but into and through them as well. We also show that an array of nanocavities can be fashioned. Structurally modified colloids have interesting potential applications in nanolithography, as well as in chemical sensing and solar cells, and as photonic crystal cavities.