"What should I wear?"
Actually, they make triathlon-specific tops, often called a tri singlet, tri shirt, tri jersey, etc. They are usually form-fitting, sleeveless garments with a zipper and pockets like a cycling jersey. They're quite suitable for wearig under a wetsuit, biking and running (though your cycling buddies might mock you for wearing a sleeveless jersey
).
You'll usually get one number, and it's most important to wear it on the run. The race number either gets attached to the singlet with safety pins, or pinned to a "race belt" that you can get for under $10 from most triathlon stores (or make your own from supplies at Wal-Mart for 1/4 of the price!).