I've had this particular setup in at least the last three of my vehicles, and works great. Thought I'd share before I install it into the truck...
I have a length of 6-conductor, shielded 18awg cable and a Skintop PG-11 bulkhead fitting. First I find a safe place to punch a ¾" hole in the firewall. Usually with a pilot and then a step drill. Then I fit in the PG-11 and tighten the self-sealing nut down. This provides me with a safe way to pull my cable through. The PG fitting will crimp down on the wire and seal it up from the elements and provide strain relief.
I then can attach whatever I need to for lighting controls and sensor inputs through the firewall without having to run multiple wires multiple times. I usually then terminate the cable with spade connectors, or to a terminal block on either end, in a dust-proof box of sorts.
Works great for control circuitry of auxiliary lighting, remote start sensors, security sensors and whatnot.