This should be relatively straight-forward. I'll tell you how I did mine and you decide what is best - I'm no pro so others may have better suggestions...
In the dry-lined wall you'll need to find the stud work - obviously the vertical posts (studs I think) are no problem but the horizontal ones (noggins I think) will be an issue. I used a scanner (an electronic handheld device which detects wood, cables and metal in walls) to find the noggins but you can do quite well just tapping the wall and listening to the change in sound. The noggins should be evenly spaced (14 inches is standard?) so when you have 1 you can guess the others.
Once the noggins were marked on the wall I used a 4" pipe cutter (a big 'cup' with teeth) in my drill and simply drilled into the noggin about 1". The plasterboard 'disc' will fall away (keep this) and then use a chisel to tap out the similar noggin 'disc'. You can now feed the cable "through" the noggin.
And when you're done, take your plasterboard 'disc', screw it back to the noggin (careful it doesn't crack) and fill the gap around the edge and paint. Job done
Let me know how it goes, and if anyone else has a better way, let us have it.