The cable should be connected to the fixture using a "suitable Romex connector" as the person above stated. This is a cable clamp (probably marked "NM" or some such, for non-metallic cable) that will fit exactly in the hole provided in the light fixture. This is what you're probably thinking of as a "strain relief" (basically prevents the cable from being pulled out of the fixture).

That end I don't have a problem with, it's where the Romex runs from
inside the wall to outside the wall. Just pull it thru a hole? I was
originally thinking a 2X4 box there and then use a single small holed
faceplate to run the wire out. Do you mean to just have like a 3/4"
hole in the sheetrock and have the Romex pull out the hole and then
into the light fixture with a clamping style connector?

Thanks!