If you have multiples of each sort, get a good, fatty meal in you. After that has a couple minutes to settle you can start taste testing pieces of each chile raw to gauge your heat tolerance and preference for them. (I guess keep some whole milk handy in case it's too much.) Either bite a bit off, or don some gloves and cut them up. Remember that the heat you get from a small piece of innocent flesh will be a fair bit less than what a big chunk of oil-laden placenta will have. If the heat is too intense, make sure you remove the placenta when you're prepping them to make your sauces. Bonnets are basically better tasting habaneros in every regard. I love them. If munching on a whole habanero pod would give you a bad case of instant regret, you need to be careful with the Bhut Jolokias (ghost) and Scorpions at first.
For salsas, I'd say start with a single pepper until you know your tolerance for certain. Maybe even less, if you're putting a Bhut in. You can always add more, but you can only make a larger batch if you go overboard with the heat.
Vacuum sealers aren't cheap, but will generally pay for themselves within the first year if you do much cooking and can justify the expense. Makes things freeze way better and stay good much longer. Even if I didn't freeze peppers on the regular, I'd still use the hell out of mine with cheap meat at the grocery, dry storage, meals-to-go, and homebrew supplies.
For fermentation, hit the Hot Sauce thread on that subject, here:
http://thehotpepper.com/topic/23146-fermenting-peppers-101/
My one caveat to that post is to sterilize things with either iodophor or Starsan from a local homebrew or culinary supply shop. Both chemicals are 100% food safe in any concentration, unlike bleach; and you dilute them so much for use that a tiny bottle will last you essentially forever.
If you have a food dehydrator or want to try your hand at drying some the old fashioned way, then you're one purchase of a small spice grinder or a blender bullet away from the delicious powders that Masher mentions. Someone on here turned me onto putting the powder in dirt cheap food grade mini test-tubes with screwtop lids and I take my dry spice everywhere I go. When people ask me about it, I have to fight the urge to do an impression of David Morse with the security guard at the end of 12 Monkeys. "It doesn't...even...have an odor."
Do you like salsa verde? Tomatillos are delicious and balance out heat very nicely. There's a Mexican place near me with a giant punchbowl of tomatillo salsa that I want to swipe and run out the door with any time I visit.