Ian,
Are you installing the thru-hull for the sound or for performance, or both? The reason I ask is that I have a 350 Mag/EFI MP, Bravo 1 with Rex Marine cutouts and there is no performance difference going through the Y-pipe or out the thru-hull. If it were a big block, it would most likely be a different story. So, if you're doing it for performance, save the dollars.
If you're doing it for sound, the cutouts make it nice to quiet it down a little. If your set on installing thru-hull I would buy some exhaust cutouts (Captain's call, Rex Marine sound selector etc.) and keep the y-pipe.
As far as whether it exits above or below the rub-rail I too have seen it both ways. I guess it would look okay depending on the hull style of the boat. Remember there are some Coast Guard regulations regarding exhaust systems. I don't remember the exact ratio, but for every foot of exhuast coming from the highest point (usually the elbow) it has to drop X number of inches. I hope I'm not bastardizing this too much, but I'm sure somebody on here can clarify or correct me here. So if you decide to run it above the rubrail, it may not meet those requirements.
I have nothing but good to say about my cutouts. They are going on 8 years old and have worked flawlessly from day one. Not trying to plug the Rex Marine cutouts, but at least give you one data point come product decision time. The only side effect of the exhaust system is that when I put up the bimini top, the sound waves that reflect off the water again bounce off the inside of the bimini and makes it even louder in the cockpit. Drop the bimini and its a lot quieter. Mine might be exacerbated by the fact that my bimini stands pretty tall. Not sure though.
BTW, I didn't do the installation, so I can't comment on the difficulty.