A few things. If you start flashing kernels, make sure you have a few other kernels on your SD card so that if the one you just installed sends you into a "boot loop", you can quickly and easily boot into recovery and install another one.
One of the first root apps I recommend is ROM Manager. One might consider this app "ROMming with training wheels". It pretty much does everything for you, you can download and install ROMs from within the app. It isn't always that up to date with which ROMs are available though.
If you want to overclock, you'll need SetCPU for most ROMs.
After rooting and whenever you get a set-up you like with a new ROM, create a nandroid backup. You can do this through ROM Manager. It's nice to have a few backups available to switch between recently flashed ROMs if you get sick of one.
Also before flashing ROMs which usually requires wiping all your data, I recommend backing up some of your data with MyBackup so you can quickly restore your data after flashing. I also recommend syncing your apps to the web with App Brain in case your apps don't restore properly.