I decided to step up from my stage 3 install and give the stage 2 a go on my laptop. Like you, I also chose to manual build the kernel. Although, when I left for work this morning, it was still emerging the ati-drivers so I haven't completed it yet.
Q1. I added support to the file systems I'm using (VM, proc, dev, reiserfs, ext3, second extended fs, and automatically mount as boot). As for specific modules, I just expanded the appropriate sections. For example, I expanded the 10/100 nic section and choose support for my Realtek 8139. Does this help?
Q2. Support for file systems
must not be compiled as modules or else you can't mount them. As for everything else, I don't see why you couldn't compile them as modules. Come to think of it, I think I set my nic support to compile in the kernel (*) instead of as a module (M). We'll see what happens when I reboot.
Q3. After compiling, the name of the kernel is bzImage and it's in your arch/i386/boot/ folder.
Good luck with your install, and keep us posted. I'll find out tonight how well I did on my first stage 2 (and no genkernel). :P