You first question: All messages are stored in the master message folder, MMS, SMS and email from all accounts. When you create an account it creates and icon that is a filtered view or the master message folder that just shows email for that account. You can hide the Yahoo icon my going into applications and highlighting the icon and pressing Menu>Hide. Some people like the icons I just prefer to have all of my messages in one place.
For wallpaper, go the medi section and search for your device model. You will find a lot of great stuff!
On the SIM card you should be able to insert it in the BB and copy all contacts to the device.
And welcome to the forums!!