AC disconnect box flush with clapboard siding
I would buy a high grade exterior caulk and caulk the box after you've screwed it in. That should prevent any water or insect intrusion.

As for the connection in the box, a standard NM clamp should do. Conduit is more or less for exposed wire and this wire would be solely inside the wall. Be sure to run conduit or UF cable from the box to whatever you're connecting to outside.