This was all new to me too, coming from WinMo(TP2), so yea, until you get your feet wet and understand the process, it can be unnerving(then again, so was the WinMo method at first).
That wipe data/factory reset had me worrying a bit too at first.
One note, after installing the ROM from the zipfile, I would suggest, doing a Wipe Cache and a Wipe Dalvik Cache. If I didn't do this, when Google tried to reload all my apps after I restarted, after about 10 or so, it would tell me I am out of space and I could no longer load any apps. This happened on the first 2 ROMs I loaded(after wiping the cache I was fine). On the third one, I wiped the caches AFTER loading the new ROM, but BEFORE rebooting for the first time and I didn't have this issue.