Sounds like you are over thinking things and doing stuff wrong. I take it that since you got a phone within the last 30 days that it had 2.3.3 on it, did you use Revolutionary to root it?
Once that ran at the end it asks if you want to install a recovery, you should have hit yes and it would install Clockwork, then boot into the phone and then go into ROM Manager and switch the recovery to RA Recovery and then that's when you go back into bootloader and do a nandroid and all that greatness.
Below is a link to a thread with all the steps in it, you should probably read it even though you are getting the phone replaced since you are going to want to root the new phone you get. I would also suggest watching some youtube videos, it took me about two weeks of reading and watching youtube videos before I rooted the first time, good luck and post any questions you have.
http://forum.ppcgeeks.com/htc-evo-4g...roms-wipe.html