Well, falling off a windsurfing board certainly counts as sail training

Yeah, a brand-new sail is something like a windsurfer sail - stiff. Gets soft later. GL is right once again, of course - you don't roll the mainsail around the boom, just roll it up next to the boom. Mine is pretty soft, so I flake it down. Dunno re: leaving the boom in the cockpit while trailering, I tend to shove it into the cuddy.
Answering your question, the different controls have different amounts of "adjust cycles." The 5 basic controls that I outlined are adjusted the most - mainsheet is almost constant, the jibsheet less so, you want to be smooth in your tiller movements, you'll change your centerboard angle pretty much only when you go from a reach (into the wind) - full down to a run (way downwind) where you may want to pull it up some/all. Lastly you'll be shifting your weight quite a bit in gusty winds, less so if wind is steady. I'm not quite sure what you mean by "downhauls".. halyards? The ropes that pull the sails up? In theory, you can set 'em and forget 'em, as you get more experienced you'll see that you get more speed and/or more pointing ability by adjusting them a bit (inches, not much). Likewise the outhaul. Basically the more wind, the more I pull on the outhaul, but when I'm running (downwind) I'll slack off the outhaul to present a round belly to the wind. Once again, to start with, just set it for the day's conditions. All of the secondary controls (barber haulers, jib car, etc), I DO adjust during a sail, but it's more like "Huh, something doesn't look right about the jib, let me try moving the jib car back." Eventually you'll learn cause and effect (I'm still learning for some things) and you'll know "Huh, waves are building up, and I need to pinch a bit more, I'm going to move the jib car back." Many of the secondary controls adjust your power vs speed, a lot like the gearshift in a car. In other words, you can set your rig to point (head upwind) better or punch thru waves better, but at expense of speed. Or vice-versa. The boom vang is the primary "secondary control" (oxymoron!) for "shifting gears", so I use it quite a lot. You'll learn all this, but get the first 5 controls down pat first, ok?
As for windex and telltales, hell yes! At the very least, put three pairs (port and starboard) of telltales on your foresail, 1/4, 1/2, and 3/4 of the way up the forward edge (luff), about 3 inches aft of the luff. Next put a telltale on the back edge (leech) of the mainsail, right above each batten pocket (so 4 of them). You can get nice stick-on telltales from any nautical shop or amazon, but you can use yarn and a bit of tape too (just doesn't work when wet!). Learn to use them, I think GL has the basics in his beginning sailor's guide, but if not google. Close hauled, I'll be checking the telltales at least once every 5 seconds or so.
Sidenote - I read an "Advanced Sailing Performance" book that gave a long proof about why sailing "by feel" is much less efficient than sailing by your telltales. Meh, I do a bit of both, especially when I'm solo and can't see my jib telltales or I'm busy looking at something else besides my telltales (oncoming stinkpot). You'll soon learn to sail "by feel" and it's a good skill to have. One of my few aggravations with the DS is that if I'm solo, the best place to sit also means I can't see the jib telltales. Remember how GL and I are both telling you to take along a friend for your learning sails, even if they do nothing else besides sit where you tell them? Well if you can get them to read the jib telltales for you, it's even better! All they gotta say is "high" "on" or "low" (look it up.. synonyms are "headed" or "lifted") and teaching them what that means will make you look very nautical

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As for the windex, it's a great learning tool. Honestly, I rarely look at it, maybe just when I'm raising sail, but when I need it I really need it...What the heck did the wind just do? I'm lost? Then I look up and say Oh! The wind just shifted 30 degrees, no wonder. In practice, I'm too lazy to crane my neck to look at it all the time and you'll learn to "read" the wind yourself soon enough. In the meantime, though, get a windex! If you really want to be fancy, I have a set of detachable mini-windexs that go on the stays (Davis Instruments Wind-Tels Vane, I got em on some super-sale, $24). They're nice to have, your boom should be parallel to the "Wind-Tel" when you're close-hauled, perpendicular when you are running, in between when reaching. Again, I mostly ignore them, often forget to rig them, but they're great when I'm teaching new crew to use my boat. Maybe helpful to you. Also, you'll see that the wind at the masthead is often different, direction and speed, from the wind down at your height. That's one of the reasons why you want to twist your sail (Vang and jib cars do that). In light winds also, windex is a godsend, usually a puff will fill in at the top before the bottom so you can better "see" the little wind you have. Anyway, once you're experienced, windex is not much use, except when it is!
Ok, as usual I wrote too much. On the other hand, this time I double-checked what I wrote, seems reasonably accurate. Bottom line, don't sweat the secondary controls yet, but yes you do adjust everything as you sail. Tell-tales are crucial, masthead windex are needed but not as much. Anything else is "nice to have" but not needed.
Tom