Welcome, wolfemancs..
Answers to your questions can be found around the forum, but I know it can be tough to find the info you are looking for in all the posts, so I will try to answer them concisely here... (perhaps someone who's been around longer can correct me if any of my answers aren't quite right)
First off, there's a brand new client, which is basically the standard GIMPS client with the config file modified to talk to a SoB server. It isn't on the official download page quite yet, but you can find info about it here. If you are going to do PRP tests, you might as well just start off using the new client. Note that the version number for this is 25.9, which shouldn't be confused with the Beta of the old client which is 2.5.8 - the new client is not based on the old client at all.
In general, the new client is around 10% faster than the old client and it will be doing P-1 tests (factoring) automatically so factoring will no longer be a separate task once n>17.2M.
Regarding what is most beneficial for the project, Sieving is currently the most efficient at removing candidates (especially if you are running a 64-bit OS), however you won't get SoB credit for sieving and you will never find a prime by sieving. I like using the BOINC client with the PrimeGrid's PSP Sieve project, which not only sieves for SoB but also the Prime Sierpinski Project. This is what I usually run on my 64-bit system, and run the SoB client on my 32-bit systems.
Factoring tests a single candidate to try and quickly show it is composite before having to run a much more time-consuming PRP test.
Sieving looks at a large group of numbers and removes many candidates at once. Wikipedia has an easy to understand article on the basic principles of Sieving but I'm not sure how similar or different the algorithm used in our case is compared to the basic sieving algorithm.