I've done this on my cage. I used 14 gauge wire to run Ralleye 3000s. I began by taking the entire external cage off. Then drill the holes underneath the mounts. The idea here is to think like water, how would water run into my cage and rust it out. So, at a minimum, drill below the 90 degree mark, but not to much as this would make you have to really bend the wire to get it into the cage. As a general rule of thumb, I try to limit the bend radius in a wire to less than 3 times the diameter of the wire. Silicone these openings later, once you're done.
Next, I used some standard 12/3 house wire, stripped one copper wire out of it to use as a "needle". This must be long enough to go from the farthest light (in my case, the passenger side) to the side where the wires will go into the engine compartment. Thread the needle, working and twisting it. Use of verbal agitation helps here as well. If you put a few pieces of electrical tape over the end, it will make it a bit easier to thread (by making it slippery) and minimize the interior scratching of the cage. You'll need a second person here to recieve the end that comes out the bottom of the cage. Then tape your wires on the end still by the light mount and thread through your wire. 1 down, 3 to go.
You'll have to drill a hole large enough to fit all wires through the fender under the foot of the cage where it fits onto the fender. Once you run 8 (2 per hole, power and ground) 14 gauge wires, it's quite a bundle. I didn't do this, but I would suggest making a simple quick disconnect here in case you need to remove the cage in the future. I simply ran the wires then hooked up relays, etc. in the engine compartment.
Fit the cage and marvel at your clean install.