Hi, Kevin,
Thanks for reaching out! I've written a more comprehensive overview, and then below is a copy of your questions with shorter, explicit answers. Let me know if it answers your question!
So, components are very similar to "parts" in an "assembly." They can contain construction geometry, bodies, sketches, decals, etc. The key to these components is that each component has its own origin. So, anything inside of that component (like one of the bodies you've been working on, for instance) is defined in relation to the origin of the component. The component's origin is then defined in relation to the global origin. So, moving the component will move its origin and everything in it relative to the global origin, but INSIDE the component, the bodies, etc, will remain in the same position relative to the component's origin.
If you edit a body, it will edit it within a component, and will look like the same result as if it were edited while not in a component. But, if you copy-paste components, they'll show up as instances (shown below) with the component name, followed by a :n, where n is the particular instance. Changing a body in one of these instances will change the body in all of the instances, much like a referenced part file.

If you hover over a component in your browser, you should see a whtie dot to the right of it. If you click it, it will activate that component, so that any work you do (creating sketches or bodies, etc) will automatically happen within that component. To deactive it, you just activate the global file, by click it's white dot at the top of the browser.

Once you have more than one component, you can ground one (fix it in the global space), and beging making them interact. Joints work between components (not bodies), but the joints are defined by reference geometry in the component (like the edge of one of its bodies, or the inside face of a cylindrical hole). Here's a quick video on joints if that's helpful: https://www.youtube.com/watch?v=LN4bvjfxQ4c It aslo discusses how you can align components as well.
YOUR QUESTIONS:
1. Base on the above, am I going in the right direction?
Absolutely! Good call.
2. How will moving the components affect the original bodies under the project in the Browser?
Bodies in the component will move with the component - since they're in a component now, they're now defined in relation to its origin, not the global origin.
3a. How will moving or editing Bodies affect the Components?
Moving or editing the bodies will change the bodies accordingly within that component. If you move just the body, as opposed to the whole component, it will redefine that body in relation to the component's origin, so the component (and it's origin) won't move, but the body will move around within the component, essentially.
3b. I do not seem to be able to copy/move Sketches in to the Components. That would be nice.
You should be able to click-and-drag a sketch or body in the browser and drop it into a component. Let me know if that doesn't work, and we'll do some diagnosing. You can also create a sketch directly in a component by activating the component first.
4. Once I set up the Components is it best to work with them if changes are needed?
Every model requires different strategies, but I tend to setup a component as soon as I can. They make alignment and manipulation much easier if you want multiple parts to move together. Plus, most models need copies of parts that reference each other, and components allow for that. I have other thoughts on strategies and best practices when it comes to components, so let me know if you're interested and I'd be happy to elaborate more.
I hope that was helpful! Again, let me know if I didn't answer your question, or (as is often the case) you have new ones!
Enjoy yourself,
Tanner
Tanner Reid
Product Design Engineer