The PSP scene is in a sick position right now. You don't need to have custom firmware any more, you can run a HEN (homebrew enabler) instead. Completely safe, and quicker. Just boot the PSP, run the HEN, and you're done. You can get plugins that let you do all sorts, too. Some let you play games in 3D if you have the right glasses. The best thing is you can run these on anything, including the PSPGo.
I bought a 16GB micro sd and a pro duo adapter online (a hell of a lot cheaper than official pro duo sticks), but I haven't got around to using it much yet. I'm gonna start using a plugin that allows you to rip UMDs, and another plugin that allows you to run backups. I haven't actually bought any PSP games, I just have the one that I got off my mate.