If you see indications of a sloppy installation such as a hole being cut too large there may be some steps you can take, but otherwise I'd probably just leave it alone. (Though it would be useful if you could post a picture or at least describe what type of light fixture it is.)
Bugs are going to get into all sorts of places regardless of what you do. Even indoor, fully-enclosed light fixtures in my house get bugs in them. It's not a big deal to clean them out when you notice they need it.
If you do try to seal them off, make sure you're not creating a fire hazard in the process. Some gaps may be desirable to allow heat to escape, and certain materials may catch fire when in close proximity to a hot light bulb.
Strictly speaking, that round metal mounting bracket on the back of the fixture is supposed to be secured to an electrical box.
It can be a shallow box, but it's supposed to be a box. You must protect the wires. You want that new garage to still be there 10 years from now.
I can't really tell from the photo, but the right shallow metal box should fit within that recess on the back of the fixture without you needing to cut a hole in the siding. But if you have to cut a hole, then you have to cut a hole (if you do, rent, borrow or buy a holesaw for your drill big enough for the box).
You could attach the box through to the OSB with screws, although personally, I'd lay a 2x4 flat side against the OSB inside the garage, toenail it into the studs on both sides, and screw the box directly through the OSB into that 2x4. So a stiff breeze or errant basketball doesn't knock your light fixture off the wall. :-)
Drill a hole through the OSB and the 2x4 big enough to feed the cable and to accommodate the clamp that holds the cable in the box. The cable has to be clamped into the box.
Then attach the round mounting bracket that came with the fixture to that box, wire everything up, attach the light fixture to the bracket that you attached to the box. That's the way it's designed.
If it's a metal box, it has to be grounded (screwing the grounded mounting bracket to it will accomplish this).
You also have to secure the cable inside the garage as dictated by your local electrical code.
Finally, I'd use a dose of waterproof silicone or caulk around the box, and then again around the fixture itself after it's mounted, to make sure water doesn't seep inside.
Good luck!
Best Answer
A pretty common approach is to build a small platform for the lamp to sit on, something like this
This has the advantage of giving you more depth to mount a receptacle box. You can use 3/4 inch material (nominally 1x ) or larger, such as 5/4 stock. You can then cut a hole, using a hole saw through the new block and the siding underneath giving you enough depth for a much deeper box, like this one
It also has the advantage of making it easier to get the base of the lamp vertical.
After the box is set, I would caulk the entry point of the wire and around the box itself. After the lamp is mounted, unless the fixture has its own gasket, caulk around the top, sides and all but a small section of the bottom (a weep hole just incase any moisture gets in.)