Welcome.
First, although we gripe about searching a bit - there are TONS of posts about applying nitro, how to, how not to, how it can go wrong - the key bit of advice is always PATIENCE.
Assuming you'll be using rattle cans of lacquer - there's plenty of finishing tutorials on here. I've even posted one about finish sanding here
Should you finish it? Ideally - frequently played guitars tend to get a bit grungy with no protection.. and we all know what can happen if you don't use protection.
- The "it" in that statement is you. You make it shiny, the finish just makes a clear coat.
Yes. If you use 250k pots vs. 500k pots - you should hear it. I'm sure someone will argue this with me, but that's ok. Read up on the pot value differences in any of the hundreds of posts here. Search for something like psw +pots or Mikro +pots
Typically, you don't clear the inside cavities (some do), since metal foil tape (copper/aluminum) used to help with shielding and grounding doesn't always stick so well to it.