That rather depends on what type of wall. Is it single or cavity? Is it brick or something else? What size waste pipe are you trying to fit?
You need to supply much more info to get a sensible reply
what is the best way to drill through a external cavity wall made from brick and block for bathroom sinc waste pipe 32mm thick and which tools are best
You need an SDS drill ..with a core drill bit around 40mm...
Mark your point where the pipe will go through on the inside...drill through the block first, and them part way through the outer brick..until your guide drill breaks through.
You now need to get outside and drill back through the wall until the core drill breaks through.
Drilling back through from outside means that the face of the brick will be neatly cut and allow for an easy finish around the pipe exit hole.