Where should I install a wall heater?
Most HVAC's are designed with vents near areas or low insulation or drafts, which are typically windows and doors on exterior walls. I'd suggest the same should be done for any space heater, baseboard, or in your case, a wall heater. The reason is to equalize the temperature in the room and counter-balance any drafts.

That said, a wall heater will have different requirements from an HVAC vent, the main one being that you only have a single heater rather than lots of vents. You have to consider the power/fuel source and how you'll run the line to your selected wall. Be sure place it where combustible materials won't be placed near the heater (the specs on the heater will tell you how much clearance it needs).

One last consideration is to maximize the space that can receive heat, and in particular the spaces that you plan on using the most. So if you place it in a room and close the door, no other rooms will be heated, but that room will be heated really well. If you place it in a hallway, the whole home will get some heat, but each room will only get a little of that heat and only when their doors are left open.