Hardwiring puck lites

I want to hard wire recessed puck lites under my kitchen cabinets, but all the kits I buy say not to run the wire in the wall. I know we have had electricians run wire in the walls to be hidden at job sites I have worked at. I want to do it myself in my kitchen and want to make sure its safe. Can I buy a transformer at the local lighting store to put in the cabinets and what kind of wire can I use to daisy chain them together in the walls. Thanks