Hi jetlagged,
I'll try and answer at least part of your question.
You should certainly book ahead if you want to get a cabin, or a seat on a flying dolphin. Cabin's are great if you're doing an overnight voyage and even better if you're travelling with somebody and are able to reserve the whole cabin. On the other hand, if you're just interested in a deck seat, you could probably pick up tickets when you're there, especially if you have some flexibility in your timing.
Personally, I wouldn't chance having my tickets mailed, if they are delayed or lost you won't be able to get a replacement and you do need a physical ticket to travel. I'm not 100% familiar with that particular booking engine, but I see they can also send them by courier, that would be viable, but it's 29 euros.
Another option would be to book online with a company that is located in Athens and pick them up once you're there (the website you're dealing with is in Crete I think). Try
http://www.danae.gr. On the FAQ page, they have a number of options for getting the tickets, including free local pickup, and tons of other useful information. I can't say anything about the actual service, I haven't used it - but I'm about to book something for my upcoming trip today.
There is one more option, if you're booking with a reliable Greek travel agent (i.e. in Greece) who is handling your hotels, they might be able to handle your ferry tickets as well; that way you'd pick them up right at your hotel.
The 2nd question I'll leave to somebody else, I haven't been to Naxos.
Kalo Taxidi (have a good trip)!
