@BurhanMuntasser: Nope, you're not missing anything. On housings that do not already have a bulkhead installed you'd have to drill a hole.
I thought about going this route with my coolpix P5000 and a fantasea housing, but opted for the digital adapter instead and it has worked a treat with my YS-60 for the last few years. I figured at 90 (price at the time for the DA adapter) it was worth trying before buying a bulkhead adapter and drilling a hole into the housing, and I'm glad I did.
According to HW's site, the DA is compatible with the E-PL3, the E-PM1 and the E-P3 and according to DSR-3 in post #8 it's compatible with the E-PL1. Unless Oly dramatically changed something in the following upgrade (which is unlikely) it should also be compatible in the E-PL5.
IMO, if you already have one of these older YS strobes it'd be worth getting the adapter and plying around with. If not you might be better off shelling out a bit more for a newer strobe that will work out of the box and will give you more control over the flash output.