You can also use ROM manager. Some advise against it, but I do it and it works fine.
The most important are that you do a nandroid backup (system image-you can do this through recovery or through ROM manager) and that you wipe the phone before flashing a new ROM. ROM manager can do these things for you after you download the ROM. The only ROM I can think of that doesn't require a wipe is Virtuous.
You'll want to back up your apps if you wipe the system. Titanium Backup will do that for you pretty nicely (you'll probably want the donate version). However, you should still restore your apps one by one in case one can cause a problem.
It can't be emphasized enough - do a nandroid backup before you do anything that will modify the system (flashing ROMs, themes,etc). That way, if whatever you did ends up screwing up your phone, you can go back to the way it was before.