1: if you are using the POD HD > Power amp . 2x12 cabinet: I would reccomend starting with the Pre amp models and turn off the cab modeling. Some people find too much "color" if you don't... but whatever sounds best to your ears is what's "right".
2: Yes, you can plug two inputs in simultaniously, as well as route each differently depending on your needs.
3: there are eight setlists on the HD500/X, I tend to have similar presets with different schemes depending on the situation. i.e.:
Setlist 1: direct recording
Setlist 2: going to powered speaker (full amp/speaker modeling)
Setlist 3: going to a tube power amp and voiced speakers (pre-amps, no cab modeling)
Setlist 4: Dream Rig
this way I can switch as needed quickly if I need to change my rig without trying to write presets in the middle of a performance.