My advice is to read as much as possible about rooting, roms, and all the endless possibilities that are before you now. Read, read, read, and when you get tired of reading, READ SOME MORE. There's always something new to learn when it comes to this. I've only been rooted and trying custom ROMs for a few weeks now but it seems like years ago that I had just a stock phone, and there is STILL so much to learn. Just don't do anything your not sure about. If your hesitant about something then search for it on Google, XDA, or here, and if that fails, post a topic. Everyone around Android Central is super helpful and friendly (can't say the same for XDA), and there's a wealth of knowledge to be found on both forums.
I would suggest getting ROM manager and flashing custom recovery. Then you are open to do anything you want. Once you have custom recovery use the "backup/restore" option and take a Nandroid backup. I would suggest doing that before flashing anything. A nandroid backup basically takes a snapshot of everything on your phone at that time. That includes apps, contacts, messages, data, whatever ROM/kernel your running at that time, EVERYTHING. That way if you mess up flashing something, all you have to do is boot into recovery and restore your backup. I've heard several people refer to it as a "checkpoint save" and it couldn't be more true. As long as you do a Nandroid backup first, if you flash a ROM and don't like it, all you have to do is restore that backup. It really is as simple as it sounds. It's saved me a few times already.
Like I said, do as much reading and research as you can. Knowledge really is power.