What are best practices to run wires from outside in?
If you don't use conduit outside, make sure you leave drip loops - where the wire runs down lower than the hole and is screwed in there, then back up to the hole.  You should see this on cable tv and telephone cables as well.  It prevents water from running along the surface of the cables right into the hole.

Make sure you use outdoor rated cables.

Make sure you measure twice and drill once.  You want to go into a hollow space in the wall, not drill all the way through a stud.

Don't make the hole any bigger than it needs to be, since that will be harder to fill and keep waterproof. Fill the hole with silicone caulking (again make sure it is made to be used outdoors).  Make sure the cables are all anchored securely before filling, so they won't get pulled out of the wall and pull the silicone out with them.