You should be able to skip all of that stuff even if you use WiFi. Most people try to get cute with configuring their wireless routers and end up screwing things up. Default settings are normally OK.
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never use wifi and there is no such beast as plug & play
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Wrong and wrong.
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No. I've helped so many friends set up their consoles in the dmz and every one of them noticed a big difference after. All routers come with a reset button in case you screw something up. There are lots of guides online. Most ppl are just too freaking lazy to be bothered with a few minutes of research.
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Yeah no kidding. When you place a host outside of a firewall you will typically not have problems associated with a poorly configured firewall.