Hi Karthik,
1. In Transport Connection, you can collect the Objects you needed.
Then you go to T-code: SE09/SE10 to release the transport you collected.
After release, you can then go to the Target system (e.g. Test), via T-code: STMS to Import the Released Transport you collected in Dev.
2. If you are a beginner, you need to sit with someone who is familiar with your System landscape, and also, you need to make sure the object you collected will not replace some other object that's already gone-live in production.
3. The simplest way is to check with your Basis team, they will advise you on whether Dev > Test > Prod is connected or not.
4. I have never used XML transport before, maybe other people can advise you on this.
Just one thing, be extra careful of what are you transporting, you do not want to accidentally collect other object and replace the working object in production.
(unless your purpose is to replace it).
Kind regards,
Vince