Well, as far as how you set up your nanoKONTROL with MyDMX, that's entirely up to you. I find it best to put out a real world example for you to look at. It doesn't mean I've done mine the best possible, but I did what works out well for me.
My main focus is on live sound reinforcement. My main client is festivals and bands. But the "show" I keep referring to is more of a theater-type presentation.
In the show I am working on, I have many scenes that use a specific color wash for one side, with another color wash for the other side. So, my nanoKONTROL configuration doesn't work so hot fo this show if I had to do stuff on the fly. Mostly though, I tend to bring up the 64 LED Pros as a bank of 8 on a single color when doing stuff on the fly.
Now, onto your fixtures. I would recommend some dimmers for the halogen floor lamps, you can do some cool stuff with those later. The ADJ/Elation DP-DMX20L can work as a dimmer/switcher pack per channel. Check the menus to be sure. I have some older DP-DMX20L's that are dimming only, which works fine for me. ADJ added the switching option some time ago at no extra cost. I have no desire to upgrade at this point in time though. My Aviator 8-channel pack does this function.
Also, keep this in mind: I also use my nanoKONRTROL with ProTools and Sony Vegas Pro. ProTools demanded I use a JLCooper CS102 pre-set profile for the nanoKONTROL. Oddly enough, I also have a real JLCooper CS102(but the power is wonky so I rarely use it anymore). Sony Vegas loses my configuration almost every time I update and it got old fast so I stopped using the controller wiht Vegas. ProTools: never an issue.
Back to your fixtures: Any DMX-512 fixture can have a profile made for it, so if your lasers are DMX capable, you sure could add those as well, although the 3D Visualizer may not "visualize" those for you.
In regards to your set-up, it's really hard to say what is best for you, especially since I'm not downloading and reading the manuals on anything. I could cop out and say to match your Fusion FX Bar2's onto the same set of faders on the same bank, and then repeat with different faders on a different bank(or different faders at least) for your Fusion Bar 3's. I'd probably assign a knob to the Par36's, either sepparately or together. Not sure what the Oceana is, but that's OK. If the Oceana is a DMX fixture, since it's unique in your mix, I'd definately give it it's own faders.
My real recommendation would be that once you're done playing with MyDMX and your nanoKONTROLLER, I think you might want to start programming scenes into MyDMX, instead of using it mainly as a live MIDI to DMX bridge for your controller to manipulate lighting. Of course, making scenes doesn't mean you can't do both, because you can. You can set channels for HTP or LTP, giving you some control where you need it. In the show I am working on, I have 2 follow spot operators, who keep overriding my spots(but that's a whole other issue). My scenes control dimming and color, I've pre-set focus, so I don't see why they feel the need to keep screwing with everything outside of "hit your target". I set these for LTP so that way should I need to over-ride(Which is sometimes necessary as I'm still designing the show), especially during pre-show, intermission and post show, I have the option available.
I think scenes are the way to go. Scenes can be as simple as a single step, or complex multi-step things. Regardless if your'e "live" or "theater" or "DJ", scenes can be a huge time and energy saver come show time. For me, the "show" is so heavily sequenced with scenes, I can literally hit my first cue and walk away for 97 minutes, it's that dead on and I have over 100 scenes(some of which are blackouts). When I work with bands, I have a different show of scenes, such as washes, pulses, strobes, movement, and on/off sequences as well as wash changes. I don't know what I may want to use, but they are organized so I can find things somewhat easier.
Personally, as far as a Scene Setter vs. MyDMX: you get way more functionality from MyDMX. Granted, you can only have 249 scenes at a time in MyDMX but you can quickly load a new show file between songs if need be. There's also lots of additional functionality that a Scene Setter can't provide. I think the Scene Setters have a fixed small amount of DMX channels, where-as MyDMX can give you a full 512 DMX channels, so you won't outgrow it unless you outgrow what you need from your DMX software. Plus, I have no idea if you're behaving as a tech or band member(or both). Last thing you really want to do is do your entire show live on the controller surface, regardless of how good you are at it. Using scenes not only saves you headache and stress, but even if you are "wrong" with your choice, it's no big deal to change to another scene. Chances are nobody will notice or care outside of yourself. Especially if you are IN the band playing, the last thing you want to do is tweak the surface while you're trying to play, you've got better things to do on stage.
You might associate "scene with song", and make a long scene with many steps that covers an entire song. Or you may choose to use some pre-done sequences of scenes chained together. Two or four things you definately need is a "white wash" for your between song stuff unless you like a diffent color. The other is a blackout, and I suggest two or three of them: a SNAP to blackout, a fast fade to blackout(say, 2-3 seconds) and a slow fade to blackout(around 10 seconds). Program these to a trigger so you can recall them easily and quickly.
Again, there's no single definitive "right way". There's mostly "What works best for you and your rig" is what is right for you. Having some working examples just helps you get some good ideas for how you may want to organize things. The rest, you're just going to have to figure out on your own, and the only way you can figure that out is to try it and see if works for you or not.