Cut a hole through the firewall, that's what I did when I installed my neon lights... Ran them to the headlight fuse for the ultimate toggle switch
Exactly. Don't forget to put a rubber grommet in the firewall (25 cents at the hardware store) to prevent the firewall from cutting your wires. There's no need to use the fuse box but you do need an inline fuse.
For the DVD player, you probably also need to connect to switched power. You can find lots of suggestions for finding one of those wires in the Audio/Video section. Search car stereo install, DVD install, etc.
Here's a pic from inside of my CB power wires going through the firewall
From the other side: