When i installed it on my phone i tried to just clear the cache but all it would do is bootloop, so i did a factory reset and then everything booted up fine. So in my case the factory reset deleted all my texts. Your photos and music should be on your SD card which will not be effected, and contacts and apps will re-sync/download once your phone connects to your gmail account. You might want to back up all your apps to be safe, in my case i had a bunch of apps that are no longer on the market so i had to reinstall them manually.
First of all, make sure you've made a backup of your current ROM..or be doomed for life if you F something up. Second, if using SPRecovery, make sure you put the ROM's zip file on the root of your SD card and name it update.zip (make sure file extensions are shown so you don't make it update.zip.zip). Then boot into recovery and install update.zip.
If using clockwork mod, you can name the zip file anything and when you boot into recovery, you can find the file on your SD card and install from there.
Wipe data and cache before installing new ROMs (not necessary for themes).
Hope that helps!
P.S. You can flash whichever recovery system you want to use by downloading ROM manager and doing it from there.
Rooted Droid Incredible
Currently Running: SkyRaider 3.5
Rooted Moto Droid - OC'd 1.25ghz ulv (Chevy)
Gingerbread / Relegated to a play device