You always do a factory reset when you do a full wipe within recovery, it's just called "wipe data" instead. If you want to avoid losing your current setup, do a nandroid backup ahead of the rom flash. So the best route IMO is to power down the phone, then hold volume down while pressing the power button for hboot. Use volume key to scroll to recovery, then press power button to enter custom recovery.
Assuming it's clockwork, wipe data, wipe cache, wipe Dalvik (advanced menu), then install zip from SD card, choose zip from SD card, navigate to your Rom and install. Directly after that, install the Google Apps zip, then reboot to system and enjoy Cyanogen.
You can find the Cyanogen zip in the Clockwork folder > download > download.cyanogenmod.com folder.
You can find gapps in the goo-inside.me folder (gotta love them boys' sense of humor).
Important: In Clockwork, the trackpad button SELECTS an item and the power button brings you backward one menu. This is different from hboot where the power button is the select key.