On Fri, 6 Jul 2012 09:32:52 -0700 (PDT), DerbyDad03
wrote:

Without a window, there's no sill to rest the unit on. The unit can't
be (OK, shouldn't be) just balanced on the plywood.

A sill will be needed to rest the unit on and a header installed to
keep the unit from tipping backward. Obviously not a huge endeavor,
but certainly more than just cutting a hole in the wall.

True. A rough opening needs to be built. The sill, the header and
jack studs on each side.

Trim the outside and caulk as suggested. Inside can have backer rod
pushed into the spaces between the RO and the A/C unit.