When bringing EMT run from outside to inside (THHN wires), do the wires just hang in the air from one conduit body (sitting outside) to the other conduit body (sitting inside the garage)? Or do I need to insert a 4" piece of conduit inside the wall (existing stucco/drywalled wall)?
Conduit must be complete. THHN wires hanging in wall space are not an acceptable wiring method. In this case, it's usually easier to use IMC or RMC for the nipple in the wall, as you can't get in there to tighten fasteners on EMT fittings, and assembled EMT+fittings takes a bigger hole than RMC or IMC.
That does mean getting or making a threaded nipple of the correct length.