To install insulation in a closed cavity, it is necessary to create some sort of opening into each of the stud cavities (approximately 16" wide, usually) in the area you wish to insulate. The access can be either from the interior or the exterior, with the latter being the more common method due to the fact that the process can be more than a little dusty and the interior surfaces are generally more difficult to patch and blend with the surrounding surfaces than exterior surfaces are.

Most often, holes are drilled through the siding and the material is pneumatically injected ("blown") into the cavity. Alternately, the siding can sometimes be removed without damage and the holes drilled through the sheathing behind it and the siding may then be reinstalled. If the holes are drilled directly through the siding, they are filled with a wooden plug and then filled with an appropriate filler material and tooled flush to the siding. Often, some additional fill is necessary prior to painting the plugs to match. This work is generally done by others.

There may be multiple holes per cavity or only one. Either way can work, if done correctly. The most common method is to drill two holes per cavity (usually 1"to 1-1/2" in diameter), one near the top of the wall and one around the middle, and to fill both of them. That allows air to escape, leaving behind the material it transports, and also puts the entry points within acceptable proximity of the boundaries of the cavity. If one hole is used, it should be large enough to accommodate the use of a flexible fill-tube of some sort which is extended into the cavity in both directions to achieve a higher density (and therefore, less air leakage through the wall). That method is more time-consuming and uses more material so it is more costly. In buildings where air leakage through wall structures is a significant problem, it may well be worth the extra cost, as it is one of the easiest ways to remedy that problem. That method is also used when there is existing insulation that is inadequate, such as the 1" rockwool blanket sometimes found in homes built before the mid-'60s.

As to the question of cost, there's no simple answer as circumstances vary greatly. To put it in some perspective, it usually costs somewhere around the price of insulating the floor or attic in the average home. However, wall insulation will quite often represent the best value in insulation upgrades, providing a better return on investment than almost any other energy-related improvement, because it may more than quadruple the efficiency of a surface that, unlike ceilings and floors, is directly exposed to outside temperatures and airflow and which also has the greatest number of air leaks due to the number and size of the penetrations (such as electrical and plumbing) and unsealed seams.

Bottom line: if you have no wall insulation, you should seriously consider adding it, if it is in any way feasible.