I did mine through the roof. Relatively difficulterer due to the bow shape of me roof but more nice looking overall I thought.
You can pick up silicone gaskets very easily online.
I found a second hand stove but if buying new, the Machine Mart Clarkes one is quite nice. A little pot belly thing. My girlfriend has one in her shed and it’s a nice little stove though you won’t really fit ‘logs’ in it.
Flue and gasket
07-27-15 Flue fitted by Kayak23[/url], on Flickr
Inside view when first fitted
inside view 2 by Kayak23[/url], on Flickr
Clarke pot belly stove at Machine Mart
Machine Mart link[/url]
I think whether you go through the wall or roof depends on a few things such as roof overhang. Generally it’ll be easier through the roof as you can often just get away with straight flue pipe.