Wirelessly posted (BlackBerry: BlackBerry8530/5.0.0.601 Profile/MIDP-2.1 Configuration/CLDC-1.1 VendorID/417)
"And, lastly, do I just go to the specific frequent flyer program that I choose and transfer the miles into that program? Let's say I put all of my miles into American. Can I then shop thru all of the One World airlines to find which one will work best?"
I'm not sure how you got the impression that you can transfer points from one airline's FFP into another airline's FFP. In most cases, you can't -- at least, not without significant devaluation of your miles.
What you can do is redeem miles in one airline's FFP for travel on one of that FFP's airline partners.