It is probably more common to run the wires under the vehicle than through it, but whatever works. Yes, the diodes go near the tail light assembly. One input is the existing car wiring and one the wire from the coach. The output goes to the existing bulb, of course.
Make sure your toad has combination stop and turn lights rather than separate (4 lights rather than 6). If not, you need six wires rather than 4. Or you have to use the extra bulbs instead of the toad's own lights. I think the Wrangler is a 4 light system, though.