I don't have mine yet, and I haven't messed with sirens, but I have with extra lights etc.
Usually there is a large rubber plug that goes through the firewall that has most of the wiring going through it. It usually has dimples for individual wire runs to go through and there are always some blanks. Don't remove the plug, it can be a pain to get back into the firewall, but you can usually poke a hole through the plug blank for wires.
I don't like messing around the ignition wires, etc (one slip and you can cut something mess up bad) so I usually drill a small hole (say 1/4 inch) through the firewall somewhere that is easy to get to, no curves, etc and most important, nothing on the other side to drill into! You can then buy grommets to put your wires through and use some silicone to seal it up more.
I would buy some nice 14 or 12 guage wire at the automotive store in different colors (use red for +, black for -, green for grnd, maybe blue or yellow for switch) and a grommet. Then wire directly to the battery. Use suitcase connectors or good crimp connectors for all the wiring and if your really nuts, shrink tubing around them.
If your doing a switch on the dash, I would put it somewhere low under the stearing column, but not where you will hit it with a knee or something. A lighted switch can be nice, all available at the auto store. You can get fancy with multipositions that will allow you to have one switch that does off, siren on, light on, siren and light on, etc. Use a dremel to make the opening in the dash plastic for the switch.
