First off - The Oxford grips are GREAT. You will be happy with them. The auto shutoff feature is nice if you forget to turn them off. The controller senses if the motor is off and turns the grips off for you.
Be sure to read the install manual:
http://www.oxford-products.com/downloads/OFV8-USA-Instructions.pdf
The grips come with a wiring harness that connects to your battery and that includes a fuse. You can install the leads directly to your battery. Over time you may install other electrical accessories on the bike and if you try to hook up all of them directly to the battery, you'll end up with a mess at the terminals. A better option is to install a terminal just for wiring accessories. It will cost you more money up front but will pay for itself over time with easier installation and reliability of other electrical stuff added to the bike. (Heated jacket, extra lights, GPS powered lead, etc...)
There is a thread on the forum for one popular terminal option, the Eastern Beaver PC8. I have this on my own ST.
http://www.yamahasupertenere.com/index.php?topic=8215.0
The Eastern Beaver terminal installs using power from the Yamaha supplied heated grip power socket already on the bike. It also has a direct connection to the battery for always-on power. This lets you attach accessories that will only be powered when the bike is switched as well as some that can be always on. I have a charging socket that is always on so I can charge my phone or Sena headphone unit overnight.
Of course, you can go ahead and install your grips now directly to the battery and get the terminal later if you feel you need it.
Here's a photo of the grip controller installed on my bile. I find this location works well.