First off, are you rooted? You didn't mention that you were, but I am assuming that you are.
There are lots of good ROMs out there. Do you specifically want Gingerbread? If so, Cyanogenmod 7 and King's Unleashed are pretty popular Gingerbread ROMs. They are pretty stock AOSP (Android Open Source Project) ROMs meaning that you would loose the HTC Sense based look and feel.
There are to main ways to flash (load) the ROM. You can either reboot into a custom recovery like Amon_RA or Clockworkmod and flash it from there or you can download ROM manager from the market and use that to automate the process.
When you flash a ROM the first thing you want to do is make a Nandroid backup of your phone. This will be a restore point so that if something goes wrong or you don't like the new ROM you can go back to the last one with all of your apps and settings intact.
I don't use ROM Manager, so I don't know if it automates the cache wiping, but if you are using a custom recovery, you **MUST** wipe your caches. Otherwise you may get stuck in a boot loop or the phone may act buggy with the new ROM and you'll need to wipe and flash again or restore from your previously made Nandroid backup.