I have a junction box like the one shown in the picture below. Do I just run the cable straight in or do I have to use some conduit/coating? I am thinking that maybe if I run the cable straight in the cable insulation might be damaged from the pressure of the hole. 
Run a cable straight into a junction box
junction
Related Solutions
Tyco makes NM splices which are concealable and acceptable under NEC for use for rewiring in an existing building.
NEC 2008
334.40 Boxes and Fittings.
(B) Devices of Insulating Material. Switch, outlet, and tap devices of insulating material shall be permitted to be used without boxes in exposed cable wiring and for rewiring in existing buildings where the cable is concealed and fished. Openings in such devices shall form a close fit around the outer covering of the cable, and the device shall fully enclose the part of the cable from which any part of the covering has been removed. Where connections to conductors are by binding-screw terminals, there shall be available as many terminals as conductors.
The answer to your first question is YES. You need to have the junction in a box. Can you mount the box higher on the roof or a rafter or a gable end stud? if you don't have enough wire, then practically speaking, the box will have to live under the insulation. Technically it is not enclosed as in being sheetrocked over, so it is not a code violation in an older house. but when you do bring out the new wire, be sure it appears above the insulation before you go back down into a wall. you could also tag the wire with a label.
The answer to question two is very simple. You do not need to run NM cable (Romex) in a conduit in a residential framed wall. You also do not need to secure fished wire except in the actual devise box entry hole.
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Best Answer
Clamps are required to protect the cable from damage, I like raco brand insiders because they are quick and inexpensive, there are also 2 screw cable clamps that are commonly used to protect cables like T&B nc301 , these are easily found at plumbing and electric shops or big box stores.