They do install just like a ROM, though you don't need to wipe all data, you only wipe cache and dalvik, then flash (unless a dev specifies otherwise). The reason you might try them is because the kernel developers have in theory, optimized how the device processes commands, therefor speeding up the phone and hopefully giving better battery life. Some kernels tend to run better on an individual device, so even though my phone might run best on Franco's kernel, yours might do better on another one. The nice thing is that since you don't have to wipe data, it's pretty quick and easy to try different ones out. I'd suggest using the stock kernel (that installs with your ROM) for a day, see how it runs, then try a different kernel for a day.