I did the same for my fridge. I've read that in many cases, the cooling/gas components are on the back wall, so I opted to drill into the side. I marked out a spot and drilled one small hole just large enough for my line to fit through. I did go through some insulation, which has already been mentioned, just pull or poke that out with your finger (be careful of the sharp edges).
My line fit snug in the hole so I didn't intially foam or seal around it. After a couple days, I noticed the fridge wasnt getting as cool as I hoped, so I got a can of that foam insulation spray, and sealed the (barely visible) gap around the line. PRESTO! Everything worked fine. I've had it up and running with no issues, for a couple years now.