Thankyou for the replies - yes, MrMark is right, I'm in Southern California and it's stucco on a wooden frame - not sure how thick it is. Is there not typically a sheet of plywood between the chicken wire and the studs? I'm new to this type of framing (I'm from the UK) and the only parts of the house where I've been able to look into the cavity are in the loft space and in the garage - the garage had a sheet of plywood, whereas the loft didn't.
And yes, on the couple of locations where a coax cable has gone through a hole made by previous owners, they just drilled a hole and passed the cable through, with no caulk or anything! I'd like to do it properly though.
I will plan to use the 90-degree LB thing you suggested and give it a good caulking to seal the perimeter. Re. the Duct Seal - do you mean you shoot this stuff into the conduit to seal the space surrounding the cables?
And regarding the securing of conduit to stucco using siding screws - are you saying the screw always needs to go through into the substrate - i.e. it can't just screw into the stucco? This would make sense base on what I've seen of the stucco - it appears to crumble very easily and I can't imagine getting a secure fitting.
Thankyou very much for your guidance!