catonec 

1) Yes you should buy a new saddle but you have to find the correct size and shaped one for your build. good luck with that. Many people here including myself are pleased with the offerings from fizik, unfortunately $65 wont cut it, more like $100. I have an antares.

2) No need for a spin class in my book. especially if you dont benefit from it and it causes you pain.

3) Yes, get clipless pedals and shoes. I ride speedplay lite actions with diadora shoes. total price $150ish. speedplay have alot of "float" in their design, thats to say that you foot isnt stuck onto the pedal at one angle, you have some clockwise/counterclockwise rotation before it unclips. this alleviates alot of knee pain caused by other pedal systems. clipless pedals are not made for walking in so they are all tricky off the bike but speedplay may be the "trickiest". you will want a pair of cleat covers if you plan on spending any time off the bike. ($10)

4) No you should not take up the whole lane when you are riding straight. If you are turning left, then yes you should move from the right shoulder to the left turning lane but then get back to the right shoulder after your through the turn. When You re coming up on a stop sign or a red light in traffic it is acceptable for you to take the lane like a car for added visibility and to avoid the "right hook".