I presume the copper line is still insulated inside the wall into the house? If it isn't, don't put the steel wool in there as it might cause galvanic corrosion (plus, it will rust due to the copper line sweating). If it is insulated, it shouldn't be a problem if the steel wool is treated with the CorrosionX.
Were it me, I'd just mix up some thick sanded grout and fill the outside of the hole in the wall around the line (just where it goes into the house from the outside) and call it a day. Easy to remove in the future by chipping it out with a screwdriver if the copper line ever has to be re-run for any reason.
And, if I wanted to get really fancy, I'd create a 2 piece color matched brick fascia cover with a hole in the middle the size of the copper line passing through and use either the grout to attach it to the brick or by mounting the plate to the brick with a couple of thin masonry tapcon screws.