@madagascaradam,
First of all you can relax! There is nothing that needs to be done immediately with your new Kobo.
There isn't any jailbreaking because Kobo firmware is not locked.
Using current book cover as screensaver is as simple as checking boxes in the Kobo settings. There are a few different options.
There are lots of book organisation customisations you can do via calibre and also many hacks (too many to list here) you can do via the
kobopatch system. If you decide to use the latter make sure you use the one which corresponds to the version of Kobo firmware on your device.
Assuming you're going to at least try the Kobo's native reading apps (there are 2 different ones for epub/kepub) rather than KOreader the first thing you might want to decide, before embarking on a mega book loading, is whether you're going to want to read your books as standard epub or as kepub. Both have pros and cons. I'd suggest you try at least one of each before making your mind up. If you find you prefer kepub format then you either need a calibre plugin (if you're a calibre user) or the Kepubify standalone utility if you're not a calibre user.
Also, as you've come from a Kindle, you may have read that the Kobo can read mobi format files. Whilst this is true, I wouldn't recommend it. I don't think it's a particularly rewarding experience.
Lots more detailed info available as you need it just by asking in the MR Kobo forums.