Yes you auto-import as normal (at Party/UB you can autoimport a table before sitting down at it). For those sites that store hands on your hard drive hand by hand you can set to auto import every minute if you like - for those that you download from pop3/email client the minimum setting is 5 minutes. The autoimports from email and from hard drive are different options on the same drop down menu..
If you have datamined an observed table you can actually see the stats before you sit down by selecting as the player chosen any of the players at the table when you click the GT+ '+' sign, but usually you wait until you are seated and have at least one hand imported before you fire up.
You should set the prefs section to set up what stats (and in what color and font you want to see) - a good starting point is hands Vp$iP,PFR,PFA, WTSD and hands played - these stats will be displayed for each player at all times (overlaid on the table) - you can drag them around the desktop if you wish to move them - you can see all the other stats with a mouse hover over the player name.
You then select yourself from the drop down list and THEN click the '+' button - it should bring up a list of your most recent tables - just click the relevant one (most recent is a top) and away you go -
One recent change is that if you set up in prefs to show your own stats at a table it now shows you your stats for just that table - this may reflect how others perceive you at that table and so is useful to leave turned on..
(your icon is still based on all your play though)
cheers