one thing about keeping co2 in the fridge is that you need to be more careful about making adjustments to the regulator psi.
i have my co2 outside, but i have secondary regulators inside the kegerator, and adjustments need to be slow and methodical. the gauges won't change immediately like they do in room temperature, so if you keep your co2 in the fridge, make small changes and check back in a few hours, don't try to make a change and expect to see it and overcorrect, then have to recorrect it later.
as far as ways to put the co2 out of the kegerator: i used a flare bulkhead connector through the door. this was easier for me since i use all flared connectors for pretty much everything. i've also seen designs with npt nipples and female threaded barb nipples, and attaching the gas line with clamps. some people just drill a hole the size of their tubing and just put their tubing directly through the door.
also, if you want to look for a coolant line, drill from the inside, not the outside. you want to drill the inside, search for a coolant line, if one is found, drill in a different location until you find an area that is safe to drill, then drill to the outside. if you drill from the outside first, then you will possibly have multiple holes on the outside of the fridge which looks pretty bad. you could also get very lucky when drilling from the outside and only have to drill once though. it's up to you.