Can I add outlet outside by just running cable through the wall and installing a plug on it?
In general, Yes.  There are a few things to be aware of.  

Note also that I am speaking of the rules in Canada - USA is similar but there are some differences.

1) The Romex must be protected from physical damage.

2) It is illegal to run extension-cord wire through a wall.  It is legal (and normal) to run Romex within or through a wall.

3) Be sure that you get the wire colors correct.  Black is Hot and goes to the Brass-colored terminal on both the plug and receptacle.  White is Neutral and goes to the Silver-colored terminal at both ends.  The bare wire is Ground and goes to the terminals colored Green.

4) Because the receptacle is outside, be sure that there is a GFCI in the circuit somewhere.  That can be either inside the building or installed in the outdoor receptacle box.