Hey there! Welcome to NDA; and the world of art in general. :D
To answer your questions in order:
1. The pen-tool is perfectly useful for making lineart. Getting a steady hand to do lines freehand takes a good deal of practice and patience; and sketching will help you attain that, so it's fine to use the pen tool for now.
2. You should paint a way you would do a traditional painting. While painting black with a low opacity and blurring or smudging will technically work; it's not going to look good. You should never, ever, use filters when you're starting off in digital art; it will only hinder your learning. Instead, do everything with the brush tool, color-pick and blend by hand; avoid smudge, dodge, and burn at all costs. Photoshop's filters and tools can be useful, but only if you can paint well without them; Photoshop's features are designed to make things a bit easier, but until you learn to do them the hard way, doing it easier will end up looking sloppy and bad. I've actually got a video tutorial on dA that might help you with your shading, I'd advise you check it out: [Link]
3. Not entirely sure what you mean here. When I sketch, I just use a normal hard-round brush with size set to pen pressure. When I start painting, I switch to one with opacity set to pen pressure.
4. Magic Wand is one of those tools that will only be useful if you've already learned to paint without it. It's uses are very limited, and I would suggest you not use it at all until you're more comfortable with your painting skills. Again, try to do everything with just the brush tool.
As for your drawings not turning out how you had envisioned them in your head, every artist has trouble with that when they start off. The only way to fix is it to draw. Practice, practice, practice. Study anatomy, light, color, form. Drawing from reference is always a good idea, too.