When you run a wire horizontally in an exterior wall, split the insulation and run the wire in the middle. Make sure you cut in around the boxes i.e. don't cram it in. Also make sure you have insulation between the boxes and the sheathing, not too much but fill in the external spaces.
You can use expanding foam around the boxes to seal them up from infiltration, BUT if you have to work on the box in the future, it will be a PITA.