Go to Lowes/Home Depot, local hardware store and look around you will find everything you need.
You could go through the roof no problem, as long as you put in a vent for incoming air to feed your equipment.
You should be able to exhaust through the same port you cut out to vent burner exhaust.Go to auto parts store and tell them you want a flexible exhaust pipe or you can fix her so shes rigid with regular exhaust pipe. It works fine.I've done it myself and have observed many others doing the same.
Its nice to have a enclosed unit to keep out the elements and the unwanteds.
You could set it up so you can pop the exhaust port on when working then pull er off when ya want to roll.
Will someone post a pic or 2 of there set up so Barry can get an idea of what I'm talking about? Thank you. Goat.