To the battery is best. Fuses for both positive (red) and negative (black) terminals. Size being the same as what comes out of the radio. Stranded, not solid core.
One thing might be to bring power into the cab with a pair of larger wires, and build/fab/buy some sort of power distribution box/panel. That way you can run your cb, ipod, computer, cooler, toaster, microwave, etc. Without running all that wiring back to the battery, without cutting new holes in the firewall, and without overloading your cigarette lighter plug(s).
Plus, if there is noise in the system from the alternator, fuel pump, windshield wipers; a filter on the pos & neg side of the master feed should do ya.
http://www.powerwerx.com has some pretty bling connectors, distribution panels, plugs, etc. But you can pretty much get what you need from Princess Auto. And ask an electrician for some pointers or help.
But don't run the cb (or any transmit capable radio for that matter) from the cigarette lighter plug. It's noisy power, and you can blow fuses. And put fuses on both leads to the battery, that is very important; if the ground strap from the neg terminal on the battery to the engine block were to fail, you'd get a negative spike up to the radio. Not only blowing the radio, but starting a fire! Both fuses protect the radio, but the neg one protects the car!
http://www.arrl.org/tis/info/pdf/39574.pdfRead that article, substitute "Amateur Radio" with "CB Radio" and you are still good to go.
Ignore the terms VHF and UHF, the frequencies are higher than what CB is. When you come across something in that article regarding HF, thats where CB is. Pay attention there.
Good luck, its not that hard once you get it all done, and your head wrapped around it.