I would use Joey's recovery, but that's just because it is Joey's. Here is the link:
joeykrim - SDX - Recovery - 2.1.3 - 4/7/2010
I don't know the answer to the question on whether you need to check it on the Rom builder, I would like to know the answer though.
as duratime said, joey's works great, forcystos's are nice too - they have more 'features', which can be good or bad depending on whether you know what you're doing.
the rom zip and template zip both go on the root of the sdcard, and yes, you have the right template linked...
i manually put everything on, so I haven't used Joey's wonderful tool... but have heard nothing but good things about joey's method... plus, it simplifies things.
looking through his list, i have:
LiveWallpapers running, HQ Youtube, 3D Gallery, Kryket's Boot animation.
I'm not using a theme right now, but have bits and pieces of people's themes (using Burst's Leo dialer and contacts, a custom lock screen, custom launcher/helix).
For the recovery, just leave it unchecked since you're flashing one first... unless you want to change it, then pick one.
You can leave a few more of the options blank as well to keep your default.
Hope that helps.