OK to nail into roof flashing

The best way is to go around the roof, not through it. As soon as you have a hole, you are providing a path for water. You can seal it, but it's always going to be a weak spot. Additionally, if you ever need to redo the roof, it will be a pain to deal with the wires that are now in the way.

Better to come out of wall, then go up to the roof. You still have to seal the hole to keep water out, but you don't have to deal with water pooling/sitting on it. Use outdoor caulk (which is UV resistant) to seal the hole. You can also use expanding foam if it's big or you really want to keep the insulation factor up, but even that should be covered in caulk on the outside (because it's not UV resistant).

If you're using a bare wire, then you should also use a drip loop: this keeps water from running down the wire and driving into the hole.

If you use conduit, be sure to keep it all glued and sealed to keep water out. You can use a cable gland at the end where the cable comes out to keep it sealed.

Yeah, that roof's pretty beat. I'd actually go heavily at that seam with Mortar Caulk (its gritty & gray), the whole length of the seam if you don't know where the leak is. But, spraying a hose at the seam & very slowly moving the spray up the seam should give you a good idea of the problem area.

Still caulk the whole seam, but then do under the shingles in the leak zone. Be careful & don't pry them anymore if they're brittle & chunks start snapping off. I caulked a flat roof in the rain 3-years ago & it still hasn't let in a drop.