1. If you export your character at the end of SoU (I think it does this automatically) then you will have all your items that you did in your inventory when you export your character.
You can ID items in other modules.
I have never had a problem dling modules from the NW vault. I have probably dled 500+ modules with no problem.
2. Not automatically. Most modules are compressed using either zip or rar. You will have to extract the .mod file to your Modules folder (located in the nwn directory) or move the .mod file there yourself if you extract elsewhere.
Modules that require hak paks will sometimes include the hak and other files in the module download. Othertime you may have to download the hakpak seperate. A hak pak has .hak as it's file extension. hak paks go into the hak folder. Some designers include custom music and/movies. Music are .bmu files and movies are .bik files and go into the music or movie folder respectively.
Any respectable, decent builder will include a readme in the download to help anyone install this extra stuff with detailed instructions.
3. Start an new NWN game and select "other module" Select the module you would like to play and then you will be prompted to either select a pre-made character or make a new character. Select the premade option and choose your character from the list.
BTW- (Shameless self-promotion)If you have SOU + HOTU and patch 1.61 you can try my
character maker module. It has merchants that will ID your stuff and other character making/testing goodies. Its a small download, no hakpaks or extra stuff, and very easy to install.
As far as 'SOU to HOTU bridge' module, Papermonk's won the design contest sponsored by Bioware. I havent played any of these myself, been too busy building ang playing HotU, but here is a link to all of the entrants to the contest:
Click Here