Easiest way to flash TWRP is through an app called "Flashify," which is found on the Google Play store. Download the correct version (TWRP 126.96.36.199 works well on the KK build) in ZIP format. Save to your phone. Open Flashify, backup your current recovery, and choose the new TWRP to flash. Reboot and see the new recovery.
In the new recovery, perform a full backup, throw it on your computer for safe keeping. There are a select few ROMs that work on the 3.4 kernel that the KK build uses, so if you would like to be opened to all the other ROMs, find the 98.30.1 update and flash it using your favorite method. After you flash back to the update, reinstall TWRP if it is gone, and then have fun.
To flash a ROM, just throw the ZIP file on your phone for your ROM, boot into TWRP and choose to install, and select the file(s) to flash. This does wipe the stock one. Perform a nandroid backup to save it.