[Al Skierkiewicz]

OK,
Let's see if I can hit all the answers...
First, Yes, you must use the terminal block for power distribution. You can use only the number of blocks you need and leave the rest in you spares kit. The 40 amp returns (black wires) must come back to the black terminal block. The Electrical wiring diagram on the FIRST documents site will show you a typical robot wiring scheme. Modify it as you need for your robot design.
The link provided above also has a nice instruction sheet following the picture showing how to assemble the block. First slide a grey block onto the rail and tighten the locking screw until the block is held in place. Then assemble the other blocks as needed. The grey blocks do not have electrical connections they are made to lock the others in place. Please use the grey inserts to protect the exposed side of a terminal as shown in the diagram. According to a team update, you can cut the yellow jumpers if you use less then four of the blocks. The manufacturer recommends only one #6 wire be terminated on each side of the block, but you can terminate two #10 or smaller wires on each side.
The DIN rail should mounted on your robot before you mount the terminal block. You can cut the rail to just the size you need (the length of terminal blocks) and save some weight. We used steel rivets with washers to lock the rail in place on the robot.