Same here.I have a Temperature gauge only and yes the line routes through the fire wall at the Junction Box.
IMO, it depends on where you are going to mount the gauges. If they are going to live under the dash panel, I'd go through the junction box as as been said above. I make a steering column support bracket with provision built in for the instruments. For those, I come in along the steering column.
I run my temp ga up along side the steering col. The oil press. ga I run thru the firewall along with the speedo cable. If you are running a Model A with stock oiling system, you will be wasting your time, they have little to no pressure.