You can go through the wall in some areas of the country. You have to use class "b" double wall chimney pipe. You need to use a thimble to penetrate the wall. This holds the double wall a specific distance from any combustible material (2"). You have to go verticle from that point and extend above the roof at least 1' vertically and 1' horizontally from any roofing material (varies by state statutes). An oval to round adapter is used to go between the two types of pipe. Working with gas and venting is a difficult and dangerous endeavor, you may want to check with your local plumbing/heating inspector for advice. If no inspector is available, check with a local HVAC contractor for a consultation. A few bux paid out to a specialist, will save you a fire or hazardous condition.