Some of the 2.2 roms have the activation tool in them, but not all (Bumblebee, Aphrodite, and Harmonia do, Reborn and Stock + Xionia do not).
2.3 roms do not, but as mentioned, nandroid backup, flash a 2.2 rom, activate, then restore your nandroid backup and you are fine, if you go that route.
Make a Nandroid backup before you start, PLEASE!
This can/will save you a lot of headaches (and maybe your phone) later.
So long as you have a working recovery, you are fine playing with roms.
So long as you have a working rom, you are fine playing with recoveries (using terminal emulator you can flash a recovery from inside the rom).
If you break one, don't mess with the other until you fix the one. I have seen several make this mistake. So if your rom fails, do not go flashing a recovery. Fix the rom, then flash a recovery and vice versa. Always keep one working and you will be able to easily fix problems.
And you WILL have a problem at some point because it will be addictive at first. Don't freak, and remember people here will help.
Go slow, read and ask questions, you will be fine.