It's been many years since I did it, so it is kind of fuzzy in my memory.
1. I don't recall it being that messy. I do remember it spitting oil when warming up, but it didn't leave the hives all oily if that's what your asking.
2. Yes, you want to get as much of the oil vapor into the hive as possible, so get it right down in the entrance. Just be careful of flame ups, otherwise it turns into a flame thrower which you don't want into the entrance of the hive.
3. The hardest part I can remember is getting the fogger to work consistently. Seems like they are a very temperamental device and get easily buggered up.