To answer your question about plug and play/auto-discovery: No. MyDMX will NOT see what is out there. You will need to tell MyDMX where things are. Since MyDMX is not a bi-directional language(it doesn't talk back), there's no mechanism in the protocol for such auto-discovery.
Fixtures DO NOT need to be connected to the DMX cable in order for you to add the profiles. Heck, you don't even need the MyDMX dongle to be hooked up when you program and add fixtures.
For example, I am going to be purchasing(well, hopefully) 8 Elation Opti Tri Pars within 2 months. I need to start doing my programming as soon as I am done being sick, this way when the lights arrive a day or two before the show I need them for, the programming is already done and all I need to do is assign addresses and proper mode assignments and I'm all done. I do the vast majority of my lighting design and programming without even hooking up the MyDMX hardware, I just run it in DEMO mode. In DEMO mode, MyDMX is just as full featured, it just is in DEMO MODE because there's no MyDMX hardware connected. You can do pretty much all your work in DEMO mode, then come showtime, plug in the hardware, launch MyDMX and you're ready to get your show on.
I'm also redoing my entire addressing scheme to make things more logical for me. This may require a ton of extra work. I still have 65 days until my next big event so I'm not terribly concerned.
You can add lights 1 at a time, or whatever at a time. If you have 8 Venue cans and they are all in 6 channel mode, you can certainly add them all at once into the Universe page. If you're not skipping addresses, you can just add them all at once, it's easier and I think it works better in the long run.
For example, I want a solid block of my 8 64 LED Pros in 7 channel mode. I currently have a blank address between each fixture, I want to remove that. I want to repeat that same thing with the new Opti Tri Pars I will soon obtain. I also have 4 Mega Panels and 4 Mega Bar 50's. I run these in 7 channel mode as well. I also have some movers and some color changers and follow spots to move around as well as my fog machines. Its a lot of work.
I'd say just take it slow, one step at a time. I think you're just overwhelmed because you dove in deeper than you expected to. Give yourself the weekend to play around. By all means, don't just sit there and figure it out though, keep asking questions. But, definately screw around a bit, this is the best way to learn it.