1. Yes it will charge even with no sim in it. The back key on the right should be lit up red if charging.
2. The settings are all on the phone. The only things SIMs store would be the answer phone number, SIM contacts and maybe the SMS message centre. You set up data and MMS etc on the handset.
3. Just unlock right away. Keep the Orange sim for Orange Wednesday texts which are 35p each.
4. The APN is the settings for a data connection. It will connect to whatever is available such as GPRS, Edge, 3G or HSDPA.
5. Not necessary.