1. Set at boot isn't what you're thinking. Set at boot means that whatever your current settings are will be set the NEXT time the phone boots. This is used when you have a setting you like. The reason you DON'T want to set at boot is that if you accidentally pick a setting that your phone doesn't like, and it makes it crash, then next time it will boot up with normal settings. Otherwise, you'd be looking at some work doing a recovery with either CWR or RSDLite... There are better ways to spend 30 minutes. Disclaimer: I use SetCPU, but the settings are all essentially the same.
2. For scaling, unless you're a power user (read: Geek) who's really up on his stuff, you should just stick with ondemand. This means your CPU will run at the lowest frequency possible, but will scale its speed up when processes call for it. This is efficient.
3. Yes, you should still make profiles. The setting on the main screen where you choose "Set at Boot" (Again, I'm speaking from SetCPU experience, but it SHOULD be the same) is just the main profile, setting the global minimum and maximum. You should leave the minimum on this at 300. The phones don't like to run much lower than that, even with the screen off; They start not ringing for calls, not waking up, etc. Set the maximum to whatever you want the max to be. You can overclock, which will obviously hurt your battery life. You could underclock and set the maximum to 1GHz, or even 800MHz, which would have a decent effect on battery life with no noticeable performance decrease to the average user. I run mine at the stock 1.2GHz and it's fast enough for my needs.
4. I wrote this
thread to help people maximize their battery life. It's pretty detailed, you should give it a thorough read, it works well for me, and seems to work for others. I'm at 32hrs unplugged and my battery has gone from 90% to 20%. That's pretty light use, and I have an extended battery, but I still see over a day on my stock battery when I use it. There's a list of my SetCPU profiles there too, that might be helpful in setting up your own.