Have you done the math for your local area on gas vs electric costs vs wood? Might sway your wife.
Electricity is VERY expensive here in the New England Grid. Cant do wood...no solid fuel allowed by most insurance co's in non-attached structures. Technically not gas...LP.
Even then, I think if I told her I could get a free heater and fuel would cost no more then $20.00 a year guaranteed, she'd still say Oil.
So if you can't use gas then what do you plan to use? Wood? Then you should be only considering a vertical chimney through the roof.
Here in New England Oil is King. Gas is a novelty in only a couple cities and LP is spotty.. As mentioned above Solid Fuels are not allowed by most insurance companies in non-attached structures, otherwise my plans for the garage would have been TOTALLY Different. I would have installed a Coal boiler in the garage, plumbed it to the house so I could heat both garage & house with the coal boiler in the garage.
If your thinking oil then go ahead with a proper all fuel vent now, a powerventer on an oil furnace just adds one more thing to go wrong.
FWIW I would much rather cut in a new flashing when the weather is warm and dry then when it's cold and wet and you are trying to get heat going right away.
Is the roof metal or shingled? With proper planning a long term leak free penetration is very possible.
Roof is asphalt shingles, I agree with you...I feel the same about cutting into the vinyl siding, in the summer heat its nice & pliable.
Really, no gas? I do not understand this. Maybe in your area it isn't affordable or something. I live in the land off hydroelectric and i couldn't afford electric heat in the shop. I am using a reznor with powered vent with a side wall exit. To answer the original question it is OK either way to do it before or after drywall, and your already there. Mine is going to be cut in this week right before I put in the insulation and drywall.
I'm from the land of Oil heat...ie new England. Plus to compound things, she's always felt sketchy about LP/Gas heat...then a couple weeks ago this happened:
http://www.wcsh6.com/news/article/247782/2/Fire-Marshal-Propane-caused-Yarmouth-explosion
My chances are slim to none now.. as I said...propane could be free and heating oil 5.00 a gallon, wouldn't change things I fear.