Yeah! I also find the discriptions in the documentation a little hard to interprite at times.

  Yes you do position the nulls where the effect is to be, as well you will need to orientate them so the effect will go in the correct direction. When you create the nulls they are positioned at the origin (0 x, 0 y, 0 z). Select the null in the explorer and use the transform tools to position it and orientate it (c and v keys). The z axis is the direction the effect will go. You can get an arrow to show the direction if you want by going to the property editor by pressing "enter" with your null selected, then change the "shadow display Icon" to "Arrow". The blue arrow that appears on your null is the direction the effect will go. Adjust it with the rotation tranform tool (c key) making sure that "local" is set on the transform modes.

 You dont need to merge the nulls but you should "freeze all tranforms" by clicking on the "Transform" tab and in the box that pops up select "freeze all transforms". I don't think it is possible to merge them to your model, I guess thats what convertdata XSI doe's in a way.

Hope that helps out. If not, sorry I arn't real good at explaining things.

 Yes, change the name from "null" to "ability", "weapon", "exhaust" and so on. Don't forget to add the prefix eg. "P001- weapon-0". If you want to have several weapons of the same type, say for example 3 Autocannon weapons on you model, make 3 nulls. The first 1 call "P001-weapon-0", then position it where you would like it on your model. The 2nd call "P002-weapon-0", then put that where you want it. The 3rd will be "P003-weapon-0".

 Remember that you have, in this examples case, alocated "Autocannons" to weapon-0. So in the entity file for the ship you will need to make the first weapon "Autocannon". So on and so forth to the other weapon types you alocate to weapon-#. (You are allowed 3 weapon types, each of which can have numerous weapons).

Also take into account you only have a certain amount of nulls that can be allocated to a ship all up, and some of these must be used(Center for eg.). I think for capitals it is 60, I'm not sure about frigates.

the only other one I can think of is that of hangar points. These are used to make the SC spawning look 'pretty', so that they don't spawn out of the middle of a ship.