A new rom is a mostly new system. the CM7 roms are based off android 2.3.5.
Your already on 2.2.1 so you will just need to run gingerbreak to root.
Then I would suggest signing up at XDA developers and searching there for FlashImageGUI, open said program, set to flash recovery and use this file as your recovery:
recovery-RA-optm-2.2.1-GNM.img
Once you get to this point power off the phone and hold home, voldn, and power until it boots into recovery. From here choose backup, make a complete backup with no ext, then save your ENTIRE SD card to PC before continuing.
This can be done by toggling USB MS in recovery.
Next you will want to partition your sd card, find the menu in recovery, choose 0mb for swap and 512 for ext, once this is finished, find the option and convert ext2 to ext3.
Now you can move your SD card backup back to the phone from the PC.
At this point you have a rooted stock phone with a custom recovery installed and a backup of everything.
All thats left is choosing a rom and booting to recovery and installing.
Optionally you could install titanium backup also and back your apps up, but I would recommend not doing that until you are running a CM7 rom. It can lead to problem if you restore the wrong stuff from a stock to a custom rom.