I've also seen people use a short section of PVC pipe through the side of the fridge to keep the gas line safe. Gas line diameter will determine what size PVC, but you might be able to find one with a fairly tight fit that doesn't need much in the way of insulation around it, maybe just a little caulk on one side.
Also, I'm sure you're probably already considering this, but in case you're not, remember to check for lines in the sides of the fridge. Depending on the make and model, so have coils through the sides, so you'll want to either figure out where they are first, or drill a small pilot hole and check for lines before drilling all the way through. Hate to have you junk your fridge after hauling it all over the place!