These threads should answer most of your questions, along with the FAQ's attached to each mod's thread:
http://www.subsim.com/radioroom/showthread.php?t=180587.
The GWX manual is VERY helpful and I recommend reading all 650+ pages o of it.
Well thats the only thread I could find of the top of my head relating to gwx + steam.
But yes, there is a 3rd download to make SHC and GWX compatible. It's small and easy to do.
You'll quickly learn that you are going to want a good amount of downloads to tweak the game to as you want to play it. There is no "best" way to play it. Just ask Steve on how he plays it, and then ask Missing Name, and then ask any of the people who use
Play the game as you want.
I'd also recommend doing the tutorial missions on Stock before installing GWX. This will let you get a feel for the boat before bringing in the tougher AI. A couple of the missions are impossible in GWX. Also, don't be surprised if it takes upto 20 minutes (or more) to load a game. Be patient.
Welcome aboard!