Check out opinions on the same question in this thread. Shaving weight is good. Shaving weight that rotates (wheels and tires) is better. Shaving weight that rotates and also decreasing rolling resistance (shallow tread if any, harder rubber, increased tire pressure to a point, decreased tire width to a point) is better still.

As far as conditioning goes, be persistent--gains will come with time. When pedaling, try to exert constant force on the pedals through their entire rotational cycle, pushing forward, then down, then pulling back and up. This is not easy and will take some practice, but will use more of your leg muscles than just powering down. SPD pedals, cleats, and shoes like the ones you have are fine. I have SPDs on my road bike.