I strongly recommend that you read ellen hutson's blog
www.ellenhutson.typepad.com from a few months ago. she has pictures, explanations, the whole nine yards.
You do not need mulitple sets. One set of rectangles will enable you to cut and emboss. However, if you want plain edges and scalloped edges you should get one of each in the same size. I hope that makes sense.
I don't have the nestabilities == yet!