When needing to go through the roof we use a piece of conduit and a roof jack. Depending on the roofing material it can be quite a challenge. I would not recommend drilling a hole and caulking around it, that really messes up the roof design. I personally don't have a problem with it, I've done enough construction and roofing that I'm pretty comfortable installing a roof jack. If it is a ceramic tile roof I'd probably not tackle it, too brittle and easy to mess up quite a bit.
If you haven't done this before, call a roofer and have a roof jack and piece of conduit installed if you must go through the roof.
Good Luck!
It is only my opinion, based on my experience and education...I am always willing to learn, educate me!
Daron J. Wilson, RCDD
daron.wilson@lhmorris.com