It's fine to store your C02 in the refrigerator - most (purpose-built) kegerators come with a place to store your C02 tank behind your kegs.
Kegging is a lot easier than bottling! One thing to keep in mind is to try to remove the oxygen from the keg. The easiest way to do this is to transfer the beer, and close the lid. Set the C02 regulator to a low PSI,, and connect it to the "gas in" port on the keg. Open the pressure valve on the top of the keg allowing the C02 to slowly push the excess oxygen out through your pressure valve. (The amount of C02 needed depends on the PSI and amount of headspace you have in your keg. A low flow is good, to keep it from mixing with the oxygen as much as possible. I've always felt that 15-30 seconds is probably sufficient.) After you feel that you've replaced all the oxygen in the keg with C02, close the pressure valve, while still supplying low PSI CO2. The small amount of pressure in the keg will help ensure you get a good seal.