you will need to back up your apps if you have data that you desperately don't want to lose, but you need a third party app like titanium backup to do that. but you should really only do it for things like games where you don't want to lose your place, as this is a different operating system (2.3 vs 2.2) and the rom itself is ported from a different device, so you want things as clean as possible to begin with. You can always reinstall all your apps from the market after flashing.
when you first go into recovery, there will be a menu of options. scroll down to backup/restore and backup your stock rom. you will need this in case anything goes wrong. after the backup (or nandroid) is finished return to the menu and now select wipe data/factory reset. after it's done go back and select wipe cache partition. you can do this a few times if you want to make sure everything is gone.
(you can also use a seperate zip file like the attached vr superwipe that will wipe everything for you three times automatically. just d/l the file to your sd card and select install zip from sd from the top menu in clockworkmod)
after your phone is clean, choose install zip from sd, scroll down to the kings rom zip and flash it. reboot and you're done.
