With an AOSP Rom like CM7, the google apps like the market, gmail, etc, have to be loaded separately. I think it has to do with legality that CM7 cannot put them it for you directly. If you have the paid version of Rom Manager (which I recommend if you are going to use CM7, this way you can update through Rom manager when future versions are released) you also need to download the gapps.zip file. This will have the market for you. Just a note, when flashing other Roms, always do the wipe cache and factory reset in Recovery. You can do it through Rom manager but occasionally it has caused an issue for me. Also, while in recovery, back up your current setup BEFORE wiping if you ever want to go back to it. Once you wipe, well you've erased what you currently have.
I find that incredikernel works very well with CM7 and gives good battery life. You can flash a kernel through recovery just like flashing a rom. You just need to make sure you use an AOSP kernel for AOSP roms, and a Sense Kernel with Sense Roms.