1. Put your married name (and maiden name as your middle name if you want).
2. No. You can go to the embassy without making an appointment.
3. Yes. Make sure you have the special delivery envelope (gray bag) from post office.
4. The documents that was returned to you when you did the report of marriage (they are stapled together, Report of marriage form, marriage cert, etc.), you need to bring all of that and photocopy it as well because they would get that copy (not really sure why they are doing this because they do have a copy of this anyway).
5. No need for NSO marriage cert since you got married in the UK.