Hi Luke,
Welcome to PixInsight Forum. Harry, Sander and Carlos have already given you good advice. Watching all Harry's videos is most of the advice that I can offer to help you in getting started with PixInsight.
Regarding the "lost processing steps" message, don't worry, at least not for now while you're getting your feet wet with PixInsight. That message is just a remainder about the fact that there's a sequence of processes that you've applied to your image, and when you close it, those processes will be lost. In PixInsight, both the images and the processes that you apply are equally important and can be treated independently each other.
You can save all of your processing steps as a process icon file (a .xpsm file). You first have to create a set of process icons, which is very easy by dragging the blue triangle button from any tool to PI's workspace. Then you can select Process > Process Icons > Save Process Icons from the main menu. Once you have an .xpsm file, you can load it later to retrieve all your processes with their parameters, to reuse them in other projects.