If at all possible ground the outer jacket of the coax as is comes down the outside wall before any turns or drip loops. Think of lightning as a lazy creature; it will prefer to follow a straight path if given a choice. There are many waterproof grounding kits available that do not require cutting the coax in two. Google LMR400 Sureground.
When you drill any hole through an exterior wall, drill the hole at an angle so it's lower on the outside. The angle will help keep water from traveling up the outside of the coax. (Warning: water will travel uphill, so the steeper the angle the better. if you don't believe me I can show you many failed installs.)
For a single LMR400 or RG8 pop a 1/2" hole through the masonry. Not huge, and easy to fill / hide later on. If / when your number of coax leads exceeds the diameter of the hole pull the coax out and make it bigger. That's when you want to think about a length of PVC pipe and a 45 on the outside. The pipe should be at least four times the diameter of the coax; tight packing multiple coax runs in a pipe will lead to unpredictable weirdness. (LMR400 really weirds out running through steel or aluminum pipe, so stay with PVC.).
If you are sealing a hole with less than a 1/4" gap, silicon sealer works okay, but don't scrimp on the quantity. Electrical duct seal or hydraulic cement (which expands as it sets) are good options for larger gaps through masonry. I prefer moisture cured urethane; Google SikaFlex.
If you put in a pipe stay away from steel wool; it doesn't last. Check the kitchen section and find bronze wool. Stuff it in deep and seal the outside to keep small bugs and humidity out. You can also spend five bucks on Amazon and buy a solder tip cleaner filled with bronze wool and borrow a bit. You need a tip cleaner anyway.
You can also mount a Carlon 6x6 PVC box on the outside. A PVC pipe male adapter can enter the box high on the back and be sealed tight with "way too much" sealer, with or without pipe attached. Use waterproof cord grips on the bottom to enter the coax. Unscrew the gasketed cover and see right into the house to run more coax. Let it weather a few months then paint to match. See your electrical supply house.
On the inside you might want to cut in a "old-work low voltage" box (it's open on the back and very shallow, and has ears that open when you tighten the screws to keep in in place). Finish it inside with a blank cover plate that matches the decor by drilling an exact size hole. You local home store has it all. If you are using a Polyphaser lighting protector you can mount the device on the cover plate either inside or outside the wall - just be sure you ground it properly. If there is any possibility of expansion go ahead and put in a 4x4 (two gang) inside box and cover.
Secure the coax outside at least every two feet, but make sure that you don't smash it or change it's shape- doing so will change the impedance of the coax and wack your install.
Water is your main enemy- critters are easier. There is nothing wrong with waterproofing to the "belt plus suspenders plus spare belt" standard. Electrical tape by itself is worthless. A liberal coating of silicon grease on the connectors underneath the vapor-proof wrap makes disassembly easier, plus provides a last line of defense against moisture.
My bane is Japanese Beetles. How a 1/4" bug can get through a 1/16" crack is mind boggling, but they do. In herds.
Water has nothing but determination and time on its hands. I had an install (by others) that failed after three years; customer complaint was no reception ("Deaf as a post"), no TX power output, and water dripping out of the bottom connector (RG8). I found that the routing and sealing was first rate, but water was getting into the antenna itself and wicking fifty feet to the radio. The impedance mismatch blew out the final PA in the transmitter. Wholesale replacement ($$$'s) followed.
Wire wool is the best... Oil it with WD40 or something similar to prevent rust.
