You should be saving any sideloaded books in the folder called "my files" in the subfolder called "books". This holds true if loading from adobe digital editions or calibre. As far as what to use the sd card for, you can store your own sideloaded books, movies, pictures. or music. It just gives you alot more space to hold alot more info. For example I have a 32gb card and it holds 500 epubs, 90 pics, 320 songs and 4 full length films. Hope this helps
If you've registered your new nook and turn on wifi, it should automatically begin to populate your books. They may appear on the new nook with a "download" bar. If that's the case, simply click and they'll download. I found that some of my books downloaded on their own and others I needed to tap.
When I drag/drop my library books from ADE to my nook, it automatically puts them in Library / My Stuff / My Files / Digital Editions. I usually go find it and long tap to select Add to Home so I don't have to hunt for it later on.
You can save pretty much anything you choose on your SD card. I have a few movies and documents.