Easy question first, they will work in the Cuttlebug. You will find loads of posts giving you the right sandwich to use.
Size - when you say small, medium and large I am wondering is it the difference in the size of the scallops or the size of the overall cut piece you are referring to?
With the circles, there are petite and regular, and that refers to the scallop size.
But with the ovals, there are classic and petite, and the petite, as well as having more smaller scallops, are narrower than the classic ovals.
Check out here for loads of detail -
http://paperfections.typepad.com/pap...inder-nes.html
This is the link I was trying to find, just took a bit more digging.
http://nicholeheady.typepad.com/capt...llbinders_faq/
At the end of the day, the size you will use most depends on your stamps and how much border you like, there is no cut and dried answer.