Hiding wiring to baseboard heaters?

I am replacing some baseboard heaters and the wiring is running up through the floor to the heaters but cold is coming up from our unheated crawl space and the wire stub is very short and hard to manage especially since there are two cables because there are two heaters in the room connected in parallel. I am redoing the walls and insulation as well so I have the option of running the wiring up through the wall bottom plate and hiding it in the wall and so the insulation would stop some of the draft, but do I use an electrical box or pull it through the drywall. I suppose if I come through the wall I can allow extra length and push it back into wall to secure baseboard to the wall and seal up the hole against the cold where it comes up through the bottom plate. Is this the most efficient way? Any comments?