Flashing a kernel is exactly the same as flashing a ROM - place zip on SD and flash in Clockwork.
As far as switching, I probably wouldn't consider it until the bootloader is unlocked.
Oh....derrrrr. Then, yeah, I did try a few different ROMs. Enjoyed the FreshEVO and used that toward the end.
And honestly, it wasn't that hard rooting the Evo so I wouldn't be concerned with their "locked" boot loader.