Welcome to the land of appropriately-priced DAW programs!
Yes, it's not super-intuitive at first but once you learn a few basics you'll be working very quickly.
To insert a marker in Reaper, just hit "M". You can double-click on said marker to name it, or if you hit "Shift+M" when creating it you'll get the option of naming it straight away.
One thing I've started doing over the past couple years is always splitting at zero crossings. Normally in Reaper, if you hit "S" it will split wherever the cursor is. Instead, "Alt+Z" splits at the nearest zero-crossing to the left of the cursor. If you have snap to grid enabled, you may have to zoom in pretty far to select the split point it creates and then select that split point. You can play around with toggling the grid on and off (but leaving snapping on) to select that split point if you want to create your track marker at exactly that point, otherwise it will only be near it.
I agree with Page that rendering using markers is a PITA, but there's a much easier way to render tracks using your split points as described above. Once you've done all of your splits, click on one of your split tracks to select it, then File > Render and choose "Selected media items" under the first drop-down. That will automatically select the region defined by your split points. Put in your track title and resampling etc. if necessary. You can then hit "Render 1 file", but I prefer to use "Add to render queue" and then repeat said procedure with all tracks, then File > Render > Open Render Queue and let it go to down rendering / resampling / dithering / whatever on all of my tracks one right after the other. This process actually goes very fast once you're used to it, as fast as tracking in CDWav for me personally. Track markers are NOT necessary at all doing it this way, but I still drop them in for convenience and organization while working on a project.
Here's more stuff that might be helpful:
http://forum.cockos.com/showthread.php?t=104206Edit: Just saw you're on a Mac:
http://user.cockos.com/~glazfolk/ReaperKeyboardShortcutsOSX.pdf