I'd go fro the one big catalogue, then use a directory tree method to segregate into years that way you keep everything together, but well organised.
Camera calibration. refers to the picture styles you get with many cameras. There are style for canon and Nikon, not sure if there are any for Sony. The sliders are there to allow you to produce your own custom calibration data if you want to. Initially I'd leave that bit alone.
Your old JPEG's I'd import as you would RAW files. OK they aren't RAW but it keeps the workflow tidy. As far as images you've worked on in PSE7 yes you can put those alongside the original. Not sure if it will do it with PSE7, but Lightroom will do that export if you export a RAW directly into Photoshop and save it. It will appear next to the original, as a TIFF or JPEG
If you've just started with Lightroom have a look at the NAPP site , they have loads of tutorials there on Lightroom, plus a good book would help, I'd suggest either Scott Kelby's or Martin Evening