Do ROMs come with a kernel? Yes they all do
When would I flash a ROM without a Kernel or vis-a-versa? I cant think of any ROM's that dont come with kernels or modems. Or a reason why you would want to do this
What are the Modem flashes I hear about? the Modems, I guess you could call them "Radios" it's basiclly what makes the device connect to the cell network
I assume a ROM comes with a modem, why the different modems? Some might behave a slight bit differently depending on device, location, etc. Some you might see with better cell coverage, and maybe slightly poorer WiFi, for example
Why one over another? Each one is going to act and perform a little bit differently, a lot of times, based on individual Captivate devices, some are a bit more perticular than others for some reason
Which flashes wipe the device? When you flash to stock JF6, the Master Wipe function wipes the device(At this point this method is still recommended). Some ROM's I believe do a wipe when being installed.
Battery mods, what are these? Just the images? Yes its just the icon in the task bar
There is a chance that you will come across Kernels that differ from the one that came with your ROM. Some kernels have other lag-fixes, and features just like a rom. However, a Kernel is the underlying Software that tells your hardware how to behave, for this reason you can flash a kernel with out effecting your ROM choice. (Although it might add lagfixes that increase ROM performance)
I for one am running Phoenix with Hardcore's SpeedMOD Kernel. I personally dont see the need for OC, and prefer Hardcore's Modified ULF with more tweaks.
To Do this, just flash your ROM, then Flash the kernel.. done